Compatible matrices of Spearman’s rank correlation

Bin Wang, Ruodu Wang and Yuming Wang

Statistics & Probability Letters, 2019, vol. 151, issue C, 67-72

Abstract: In this paper, we provide a negative answer to a long-standing open problem on the compatibility of Spearman’s rho matrices. Following an equivalence of Spearman’s rho matrices and linear correlation matrices for dimensions up to 9 in the literature, we show non-equivalence for dimensions 12 or higher. In particular, we connect this problem with the existence of a random vector under some linear projection restrictions in two characterization results.

Keywords: Compatibility; Copula; Rank correlation matrix; Risk management; Spearman’s rho (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2019.03.015

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