Geometry of a correlation coefficient under a copula

Communications in Statistics - Theory and Methods

Volumn 25, Issue 6, 1996, Pages 1397-1404

  Long, Dou ^a   Krzysztofowicz, Roman ^b  

^a USAir   (United States)

^b University of Virginia   (United States)

Author keywords

Association; Copula; Geometry of correlation; Pearson's correlation coefficient; Spearman's rank correlation coefficient

Indexed keywords

EID: 0542430923     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929608831773     Document Type: Article

References (5)

1. Kotz, S. and Seeger, J.P. (1991). "A new approach to dependence in multivariate distributions," Advances in Probability Distributions with Given Marginals (G. Dall'Aglio, S. Kotz and G. Salinetti, Eds.). Dordrecht, The Netherlands: Kluwer Academic Publishers, 113-127.
2. Kruskal, W.H. (1958). "Ordinal measures of association," Journal of the American Statistical Association, 53, 814-861.
3. Long, D. and Krzysztofowicz, R. (1995). "A family of bivariate densities constructed from marginals," Journal of the American Statistical Association, 90, 739-746.
4. Nelsen, R.B. (1991). "Copulas and association," Advances in Probability Distributions with Given Marginals (G. Dall'Aglio, S. Kotz and G. Salinetti, Eds.). Dordrecht, The Netherlands: Kluwer Academic Publishers, 51-74.
5. Nelsen, R.B. (1992). "On measures of association as measures of positive dependence," Statistics and Probability Letters, 14, 269-274.