Optimization of Spearman's Rho

vol.38 issue1

Decision Theory for the Variance Ratio in One-Way ANOVA with Random Effects

Identification of Common Factors in Multivariate Time Series Modeling

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Revista Colombiana de Estadística

Print version ISSN 0120-1751

Abstract

MUKHERJEE, SAIKAT; JAFARI, FARHAD and KIM, JONG-MIN. Optimization of Spearman's Rho. Rev.Colomb.Estad. [online]. 2015, vol.38, n.1, pp.209-218. ISSN 0120-1751. https://doi.org/10.15446/rce.v38n1.48811.

This paper proposes an approximation method to achieve optimum possible values of Spearmans rho for a special class of copulas.

Keywords : Approximation; Copula; Kendall's Tau; Spearman's Rho.

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