Title A few generalizations of Kendall’s tau. Part I: Construction /
Authors Manstavičius, Martynas
DOI 10.15388/namc.2024.29.35460
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Is Part of Nonlinear analysis: modelling and control.. Vilnius : Vilnius University Press. 2024, vol. 29, no. 4, p. 783-801.. ISSN 1392-5113. eISSN 2335-8963
Keywords [eng] Kendall’s tau ; Scarsini axioms ; bivariate copula ; transformation ; concordance measure ; supermodular.
Abstract [eng] Complimenting our earlier work on generalizations of popular concordance measures in the sense of Scarsini for a pair of continuous random variables (X, Y) (such measures can be understood as functions of the bivariate copula C associated with (X, Y)), we focus on generalizations of Kendall’s τ. In Part I, we give two forms of such measures and also provide general bounds for their values, which are sharp in certain cases and depend on the values of Spearman’s ρ and the original Kendall’s τ. Part II is devoted to the intrinsic meaning of presented Kendall’s τ generalizations, their degree as polynomial-type concordance measures, and computational aspects.
Published Vilnius : Vilnius University Press
Type Journal article
Language English
Publication date 2024
CC license CC license description