Open AccessOn the Relationship between Pearson Correlation Coefficient and Kendall’s Tau under Bivariate Homogeneous Shock Model
Author(s) -
Jiantian Wang
Publication year - 2012
Publication title -
isrn probability and statistics
Language(s) - English
Resource type - Journals
eISSN - 2090-472X
pISSN - 2090-4711
DOI - 10.5402/2012/717839
Subject(s) - bivariate analysis , pearson product moment correlation coefficient , mathematics , homogeneous , correlation , statistics , correlation coefficient , econometrics , combinatorics , geometry
This paper studies the relationship between Kendall's tau and Pearson correlation coefficient under the so-called bivariate homogeneous shock (BHS) model. We find Capéraà-Genest-type inequality may not hold for general BHS model. Computational simulations suggest that the Denials' inequality is likely to be true.
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