On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables

By Gregory A. Fredricks, Roger B. Nelsen. 2007

226 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c3f4444ea181e86b53a9ee3bf617f59023f3b63f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

In Finance

In Management Science and Operations Research

Citations in the corpus

On the exact region determined by Kendall's τ and Spearman's ρ (2015, background): “Although Kendall’s τ and Spearman’s ρ are both measures of concordance, they quantify different aspects of the dependence structure (Fredricks and Nelsen, 2007).”
Properties of hierarchical Archimedean copulas (2013, background): “There are papers which compare these measures in the bivariate framework (Chen (2004), Durrleman, Nikeghbali and Roncalli (2000), Fredricks and Nelsen (2004), etc.”
Multivariate non-normally distributed random variables in climate research - introduction to the copula approach (2008, methodology): “Furthermore it allows to use predeﬁned estimators for existing classes of marginal distributions and copula families (e.g. Fredricks and Nelsen, 2007).”
On the construction of multivariate extreme value models via copulas (2009, background): “Copyright © 2009 John Wiley & Sons, Ltd. Environmetrics 2010; 21: 143–161 DOI: 10.1002/env Analogously, as shown in Fredericks and Nelsen (2007) and Salvadori et al. (2007), Kendall’s association measure τij for the generic pair {Xi, Xj} is given by τij = aiajλ ai + aj − aiajλ = bibj bi + bj − bibj…”
Evaluating Recommendation Systems (2011, background): “These measures tend to be highly correlated in practice [18].”
Comparing the Pearson and Spearman correlation coefficients across distributions and sample sizes: A tutorial using simulations and empirical data. (2016, background): “For typical bivariate normal distributions, r p and r s are about 50% greater than r t (Equations 9 and 10, Fredricks & Nelsen, 2007, see also Figure S16).”
Power outages and firm performance in Sub-Saharan Africa (2018, background): “20 For a general statistical treatment see for example Mikosch (2006) or Fredricks and Nelsen (2007), while for a hydrology specific treatment see Genest and Favre (2007) and Schölzel and Friedrichs (2008).”