tau

Association and concordance measures

September 12, 2012 |

Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define the so-... [Read more...]

Kendall’s Tau

September 5, 2012 |

Kendall’s Tau This is an example of Kendall’s Tau rank correlation.  This is similar to Spearman’s Rho in that it is a non-parametric measure of correlation on ranks.  It is an appropriate measure for ordinal data and is fairly straight forward when there are no ties in ... [Read more...]