二元偏斜正态分布的Kendall和Spearman秩相关性

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Scandinavian Journal of Statistics Pub Date : 2022-12-01 DOI:10.1111/sjos.12587

Andréas Heinen, Alfonso Valdesogo

{"title":"二元偏斜正态分布的Kendall和Spearman秩相关性","authors":"Andréas Heinen, Alfonso Valdesogo","doi":"10.1111/sjos.12587","DOIUrl":null,"url":null,"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.","PeriodicalId":49567,"journal":{"name":"Scandinavian Journal of Statistics","volume":"49 1","pages":"1669 - 1698"},"PeriodicalIF":0.8000,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"The Kendall and Spearman rank correlations of the bivariate skew normal distribution\",\"authors\":\"Andréas Heinen, Alfonso Valdesogo\",\"doi\":\"10.1111/sjos.12587\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":49567,\"journal\":{\"name\":\"Scandinavian Journal of Statistics\",\"volume\":\"49 1\",\"pages\":\"1669 - 1698\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2022-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Scandinavian Journal of Statistics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1111/sjos.12587\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Scandinavian Journal of Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1111/sjos.12587","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 2

摘要

我们导出了二元斜正态（SN）分布的Kendall和Spearman秩相关系数。对于给定的相关性参数，我们提供了形状参数的条件，在该条件下，就两阶相关性中的每一个而言，SN比正态更依赖。我们进一步展示了我们的结果如何用于SN的相关参数和等形状参数的基于秩的估计过程，我们建立了它们的一致性和渐近正态性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Scandinavian Journal of Statistics 数学-统计学与概率论

CiteScore

1.80

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Scandinavian Journal of Statistics is internationally recognised as one of the leading statistical journals in the world. It was founded in 1974 by four Scandinavian statistical societies. Today more than eighty per cent of the manuscripts are submitted from outside Scandinavia. It is an international journal devoted to reporting significant and innovative original contributions to statistical methodology, both theory and applications. The journal specializes in statistical modelling showing particular appreciation of the underlying substantive research problems. The emergence of specialized methods for analysing longitudinal and spatial data is just one example of an area of important methodological development in which the Scandinavian Journal of Statistics has a particular niche.