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Improved rank-based dependence measures for categorical data

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Vandenhende, F Lambert, Philippe [UCL]

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. (C) 2003 Elsevier Science B.V. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2003
Language Anglais
Journal information "Statistics & Probability Letters" - Vol. 63, no. 2, p. 157-163 (2003)
Peer reviewed yes
Publisher Elsevier Science Bv ((Netherlands) Amsterdam)
issn 0167-7152
Publication status Publié
Affiliation UCL - EUEN/STAT - Institut de statistique
Keywords bivariate ordinal data ; dependence ; copula ; goodness-of-fit test
Links
Bibliographic reference Vandenhende, F ; Lambert, Philippe. Improved rank-based dependence measures for categorical data. In: Statistics & Probability Letters, Vol. 63, no. 2, p. 157-163 (2003)
Permanent URL http://hdl.handle.net/2078.1/40966