The Kendall and Spearman rank correlations of the bivariate skew normal distribution

Andréas Heinen and Alfonso Valdesogo Robles

Scandinavian Journal of Statistics, 2022, vol. 49, issue 4, 1669-1698

Abstract: We derive the Kendall and Spearman rank correlation coefficients of the bivariate skew normal (SN) distribution. For a given correlation parameter, we provide conditions on the shape parameters, under which the SN is more dependent than the normal in terms of each of the two‐rank correlations. We further show how our results can be used for rank‐based estimation procedures of the correlation parameter and the equal shape parameter of the SN, whose consistency and asymptotic normality we establish.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/sjos.12587

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:49:y:2022:i:4:p:1669-1698

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().