Advances and Applications in Statistics
Volume 34, Issue 1, Pages 1 - 9
(May 2013)
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A NOTE ON THE RELATIONSHIPS BETWEEN SPEARMAN’S r AND KENDALL’S t UNDER BIVARIATE HOMOGENEOUS SHOCK MODEL
Jiantian Wang
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Abstract: This note studies Spearman’s r and Kendall’s t under the so-called bivariate homogeneous shock (BHS) model. We derive simple expressions of r and t, and based on them, we reveal some relationships between r and t under BHS model. |
Keywords and phrases: association measure, bivariate homogeneous shock model, Kendall’s t, Spearman’s r. |
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