Improved rank-based dependence measures for categorical data

François Vandenhende and Philippe Lambert

Statistics & Probability Letters, 2003, vol. 63, issue 2, 157-163

Abstract: We extend rank-based dependence measures like Spearman's rho to categorical data so that the same ±1 limits are always reached under complete dependence. A goodness-of-fit procedure is derived for dependence models using copulas.

Keywords: Bivariate; ordinal; data; Dependence; Copula; Goodness-of-fit; test (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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