Improved rank-based dependence measures for categorical data
We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A goodness-of-fit procedure is derived for dependence models using copulas.
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| Published in | Statistics & probability letters Vol. 63; no. 2; pp. 157 - 163 |
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| Main Authors | , |
| Format | Journal Article Web Resource |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
15.06.2003
Elsevier Elsevier Science |
| Series | Statistics & Probability Letters |
| Subjects | |
| Online Access | Get full text |
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| Abstract | We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A goodness-of-fit procedure is derived for dependence models using copulas. |
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| AbstractList | We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A goodness-of-fit procedure is derived for dependence models using copulas. We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A goodness-of-fit procedure is derived for dependence models using copulas. |
| Author | Lambert, Philippe Vandenhende, François |
| Author_xml | – sequence: 1 givenname: François surname: Vandenhende fullname: Vandenhende, François email: francois@lilly.com organization: Statistics and Information Sciences, Eli Lilly & Company, Rue Granbonpre 11, Mont-Saint-Guibert B-1348, Belgium – sequence: 2 givenname: Philippe surname: Lambert fullname: Lambert, Philippe organization: Institute of Statistics, Université Catholique de Louvain, Belgium |
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| Cites_doi | 10.1214/aop/1176994668 10.2307/2281536 10.1007/BF02189866 10.1214/aos/1176345528 |
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| Keywords | Copula Goodness-of-fit test Bivariate ordinal data Dependence Statistical method Categorical data Goodness of fit test Bootstrap |
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| References | Davison, Hinkley (BIB2) 1997 Fréchet (BIB4) 1951; 14 Sklar (BIB7) 1959; 8 Schweizer, Wolff (BIB6) 1981; 9 Agresti (BIB1) 1990 Frank (BIB3) 1979; 19 Goodman, Kruskal (BIB5) 1954; 49 Tchen (BIB8) 1980; 8 Goodman (10.1016/S0167-7152(03)00063-4_BIB5) 1954; 49 Frank (10.1016/S0167-7152(03)00063-4_BIB3) 1979; 19 Agresti (10.1016/S0167-7152(03)00063-4_BIB1) 1990 Davison (10.1016/S0167-7152(03)00063-4_BIB2) 1997 Schweizer (10.1016/S0167-7152(03)00063-4_BIB6) 1981; 9 Tchen (10.1016/S0167-7152(03)00063-4_BIB8) 1980; 8 Sklar (10.1016/S0167-7152(03)00063-4_BIB7) 1959; 8 Fréchet (10.1016/S0167-7152(03)00063-4_BIB4) 1951; 14 |
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| Snippet | We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A... We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A... |
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| SubjectTerms | Bivariate ordinal data Bivariate ordinal data Dependence Copula Goodness-of-fit test Copula Dependence Exact sciences and technology Goodness-of-fit test Mathematics Mathématiques Nonparametric inference Parametric inference Physical, chemical, mathematical & earth Sciences Physique, chimie, mathématiques & sciences de la terre Probability and statistics Sciences and techniques of general use Statistics |
| Title | Improved rank-based dependence measures for categorical data |
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