| 随机变量的Kendall相关系数的推广 |
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| 引用本文： | 李玉水.随机变量的Kendall相关系数的推广[J].莆田学院学报,2009,16(5):15-17. |
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| 作者姓名： | 李玉水 |
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| 作者单位： | 福建经济管理干部学院,金融系,福建,福州,350007 |
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| 摘 要： | 多维随机变量之间常常存在着复杂的相依关系,而度量相依关系指标大多只刻画二维随机变量之间相依程度。借助Copula工具及利用Kendall相关系数是和谐概率的线性变化的特点,将二维Kendall相关系数推广到n维,并在此基础上探讨其性质以及不同维度的Kendall相关系数之间的关系。
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| 关 键 词： | Copula Kendall相关系数 同单调 |
Generalization of Kendall Correlation Coefficient among Random Variables |
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| LI Yu-shui.Generalization of Kendall Correlation Coefficient among Random Variables[J].journal of putian university,2009,16(5):15-17. |
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| Authors: | LI Yu-shui |
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| Abstract: | There always exists complex dependency relationship among multidimensional random variables,but the measurement of dependent relationship almost depicts level of dependence between two-dimensional random variables.It promotes two-dimensional Kendall correlation coefficient to n-dimensional by Copula and the property of Kendall correlation coefficient which is linear change of concordance probability,and explores its properties and the relationship between different dimensions of Kendall correlation coefficient. |
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| Keywords: | Copula |
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