On the monotonicity of some nonparametric dependence measures with respect to concordance ordering

Denuit, Michel;Mesfioui, Mhamed;Tajar, Abdelouahid
(2001)

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  • Denuit, MichelUCLouvain
    Author
  • Mesfioui, Mhamed
    Author
  • Tajar, Abdelouahid
    Author
Abstract
This paper explores the monotonicity with respect to concordance ordering of Kendall’s [tau] and Spearman’s ρ for counting random variables with an unbounded support. This gen- eralizes some results of Schweizer and Wolff (1981) and Tchen (1980).
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Denuit, M., Mesfioui, M., & Tajar, A. (2001). On the monotonicity of some nonparametric dependence measures with respect to concordance ordering (STAT Discussion Paper 0142). https://hdl.handle.net/2078.5/33493