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Activity Number:
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552
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Type:
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Contributed
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Date/Time:
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Thursday, August 10, 2006 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #307587 |
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Title:
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On the Relationship between Spearman's Rho and Kendall's Tau for Extreme Order Statistics
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Author(s):
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Yung-Pin Chen*+
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Companies:
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Lewis & Clark College
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Address:
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Mathematics Department, Portland, OR, 97219,
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Keywords:
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copula ; order statistic ; Spearman's rho ; Kendall's tau
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Abstract:
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We will study the relationship between Spearman's rho and Kendall's tau for the two extreme order statistics, minimum and maximum, of independent and identically distributed continuous random variables. We present some new formulas for computing Spearman's rho. One of the formulas leads to a recursion relation. We use this recursion relation to establish inequality relationships between Spearman's rho and Kendall's tau. The recursion relation also provides an alternative proof of the result that the sequence of ratios rho/tau converges to 3/2 as the sample size goes to infinity.
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