Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions
| Autor: | Andréas Heinen, Alfonso Valdesogo |
|---|---|
| Přispěvatelé: | Théorie économique, modélisation et applications (THEMA), Université de Cergy Pontoise (UCP), Université Paris-Seine-Université Paris-Seine-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Numerical Analysis Rank (linear algebra) Cauchy distribution 020206 networking & telecommunications 02 engineering and technology Bivariate analysis Absolute value (algebra) 01 natural sciences Spearman's rank correlation coefficient Normal distribution 010104 statistics & probability Student's t-distribution Statistics 0202 electrical engineering electronic engineering information engineering 0101 mathematics Statistics Probability and Uncertainty [MATH]Mathematics [math] Rank correlation Mathematics |
| Zdroj: | Journal of Multivariate Analysis Journal of Multivariate Analysis, Elsevier, 2020, 179, pp.104650-. ⟨10.1016/j.jmva.2020.104650⟩ |
| ISSN: | 0047-259X 1095-7243 |
| Popis: | We derive an expression for the Spearman rank correlation of bivariate scale mixtures of normals (SMN) and we show that within this class, for any value of the correlation parameter, the Spearman rank correlation of the normal is the greatest in absolute value. We then provide expressions for the symmetric generalized hyperbolic, the Bessel, and the Laplace distributions. We further derive an expression for the Spearman rank correlation of the Student t distribution in terms of an easily computable one-dimensional integral, and we also consider the special case of the Cauchy. Finally, we show how our results can be used in a rank-based estimation of the parameters of the Student t distribution. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect