Kendall's tau and Spearman's rho for n -dimensional Archimedean copulas and their asymptotic properties

Włodzimierz Wysocki

Journal of Nonparametric Statistics, 2015, vol. 27, issue 4, 442-459

Abstract: We derive formulas for the dependence measures and for Archimedean n -copulas. These measures are n -dimensional analogues of the popular nonparametric dependence measures: Kendall's tau and Spearman's rho. For we obtain two formulas, both involving integrals of univariate functions. The formulas for involve integrals of n -variate functions. We also obtain formulas for the three measures for copulas whose additive generators have completely monotone inverses. These formulas feature integrals of 2-variate functions (we use the Laplace transform). We study the asymptotic properties of the sequences and , for a sequence of Archimedean copulas with a common additive generator. We also investigate the limit of this sequence, which is an infinite-dimensional copula on the Hilbert cube.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/10485252.2015.1070849 (text/html)
Access to full text is restricted to subscribers.

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:taf:gnstxx:v:27:y:2015:i:4:p:442-459

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485252.2015.1070849

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().