On measures of association as measures of positive dependence

Roger B. Nelsen

Statistics & Probability Letters, 1992, vol. 14, issue 4, 269-274

Abstract: We show that Spearman's rho is a measure of average positive (and negative) quadrant dependence, and that Kendall's tau is a measure of average total positivity (and reverse regularity) of order two.

Keywords: Measures; of; association; Spearman's; rho; Kendall's; tau; positive; dependence; properties; positive; quadrant; dependence; total; positivity; of; order; two; copulas (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (6)

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