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Rank weighting and asymmetry in Blest's rank correlation: two exact regions

Rockel, Marcus
arXiv (All) · Papers
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49q22probabilitystatistics-theory
Blest's rank correlation $ν$ is a variant of Spearman's rho $ρ$ that weights the leading ranks of one variable more heavily, at the price that $ν$ is not symmetric in its arguments. We quantify both features by determining the exact region of $(ρ,ν)$ over all bivariate copulas, as well as that of $(
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