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Concordance and ginfs measure of association 

Author: Roger B. Nelsen a
Affiliation:   a Department of Mathematical Sciences, Lewis and Clark College, Portland, OR
DOI: 10.1080/10485259808832744
Publication Frequency: 8 issues per year
Published in: journal Journal of Nonparametric Statistics, Volume 9, Issue 3 1998 , pages 227 - 238
Formats available: PDF (English)
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Abstract

We study the relationship between concordance and the population version γ of Gini's rank correlation coefficient. For a pair lcubX, Y) of continuous random variables, we show that γ is a function of probabilities of concordance and discordance between (X, Y) and pairs with the same margins but whose joint distributions are the Freacutechet upper and lower bounds. We also show that γ depends only on the diagonal and secondary diagonal sections of the copula of (X, Y) and present corresponding results for the sample statistic.
Keywords: Concordance; copulas; Gini's rank correlation coefficient; Frechet bounds; Kendall's tau; measures of association; Spearman's footrule; Spearman's rho
AMS 1991 Subject ClassiJication: Primary: 62H20; Secondary: 62E10; 62HOS
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