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Optimization of Spearman's Rho
Optimización de Rho de Spearman
DOI:
https://doi.org/10.15446/rce.v38n1.48811Keywords:
Approximation, Copula, Kendall’s Tau, Spearman’s Rho (en)Aproximación, Cópula, Tau de Kendall, Rho de Spearman. (es)
This paper proposes an approximation method to achieve optimum possible values of Spearman’s rho for a special class of copulas
El artículo propone un método de aproximación para alcanzar los valores óptimos posibles del coeficiente rho de Spearman para algunas clases especiales de cópulas.
https://doi.org/10.15446/rce.v38n1.48811
1National Institute of Technology Meghalaya, Department of Mathematics, Shillong, India. Assistant Professor. Email: saikat.mukherjee@nitm.ac.in
2University of Wyoming, Department of Mathematics, Laramie, USA. Professor. Email: fjafari@uwyo.edu
3University of Minnesota-Morris, Division of Science and Mathematics, Morris, USA. Professor. Email: jongmink@morris.umn.edu
This paper proposes an approximation method to achieve optimum possible values of Spearmans rho for a special class of copulas.
Key words: Approximation, Copula, Kendall's Tau, Spearman's Rho.
El artículo propone un método de aproximación para alcanzar los valores óptimos posibles del coeficiente rho de Spearman para algunas clases especiales de cópulas.
Palabras clave: aproximación, cópula, tau de Kendall, rho de Spearman.
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References
1. Amblard, C. & Girard, S. (2009), 'A new extension of bivariate FGM copulas', Metrika 70, 1-17.
2. De la Peña, V. H., Ibragimov, R. & Sharakhmetov, S. (2006), Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series, 'Optimality: The second Erich L. Lehmann Symposium, IMS Lecture Notes - Monograph Series', Vol. 49, Institute of Mathematical Statistics, , , Beachwood, Ohio, p. 183-209.
3. Durante, F. (2009), 'Construction of non-exchangeable bivariate distribution functions', Statistical Papers 50(2), 383-391.
4. Kim, J.-M., Sungur, E. A., Choi, T. & Heo, T.-Y. (2011), 'Generalized bivariate copulas and their properties', Model Assisted Statistics and Applications 6, 127-136.
5. Liebscher, E. (2008), 'Construction of asymmetric multivariate copulas', Journal of Multivariate Analysis 99(10), 2234-2250.
6. Nelsen, R. B. (2006), An Introduction to Copulas, Springer, New York.
7. Rodríguez-Lallena, J. A. & Úbeda-Flores, M. (2004), 'A new class of bivariate copulas', Statistics & Probability Letters 66(3), 315-325.
8. Schweizer, B. & Sklar, A. (1983), Probabilistic Metric Spaces, Elsevier, New York.
9. Sklar, A. (1959), 'Fonctions de répartition \'a n dimensions et leurs marges', l'Institut de statistique de l'Université de Paris 8, 229-231.
10. Sklar, A. (1973), 'Random variables, joint distribution functions, and copulas', Kybernetika 9(6), 449-460.
Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:
@ARTICLE{RCEv38n1a11,
AUTHOR = {Mukherjee, Saikat and Jafari, Farhad and Kim, Jong-Min},
TITLE = {{Optimization of Spearman's Rho}},
JOURNAL = {Revista Colombiana de Estadística},
YEAR = {2015},
volume = {38},
number = {1},
pages = {209-218}
}
References
Amblard, C. & Girard, S. (2009), ‘A new extension of bivariate FGM copulas’, Metrika 70, 1–17.
De la Peña, V. H., Ibragimov, R. & Sharakhmetov, S. (2006), Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series, in J. Rojo, ed., ‘Optimality: The second Erich L. Lehmann Symposium, IMS Lecture Notes - Monograph Series’, Vol. 49, Institute of Mathematical Statistics, Beachwood, Ohio, pp. 183–209.
Durante, F. (2009), ‘Construction of non-exchangeable bivariate distribution functions’, Statistical Papers 50(2), 383–391.
Kim, J.-M., Sungur, E. A., Choi, T. & Heo, T.-Y. (2011), ‘Generalized bivariate copulas and their properties’, Model Assisted Statistics and Applications 6, 127–136.
Liebscher, E. (2008), ‘Construction of asymmetric multivariate copulas’, Journal of Multivariate Analysis 99(10), 2234–2250.
Nelsen, R. B. (2006), An Introduction to Copulas, Springer, New York.
Rodríguez-Lallena, J. A. & Úbeda-Flores, M. (2004), ‘A new class of bivariate copulas’, Statistics & Probability Letters 66(3), 315–325.
Schweizer, B. & Sklar, A. (1983), Probabilistic Metric Spaces, Elsevier, New York.
Sklar, A. (1959), ‘Fonctions de répartition à n dimensions et leurs marges’, l’Institut de statistique de l’Université de Paris 8, 229–231.
Sklar, A. (1973), ‘Random variables, joint distribution functions, and copulas’, Kybernetika 9(6), 449–460.
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1. Saikat Mukherjee, Youngsaeng Lee, Jong-Min Kim, Jun Jang, Jeong-Soo Park. (2018). Construction of bivariate asymmetric copulas. Communications for Statistical Applications and Methods, 25(2), p.217. https://doi.org/10.29220/CSAM.2018.25.2.217.
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