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Geometry of a corelation coefficient under a copula |
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| Authors: | Dou Long Roman Krzysztofowicz |
| Institution: | 1. Operation Research Department , USAir , Arlington, Virginia, 22227;2. Department of Systems Engineering and Division of Statistics , University of Virginia , Charlottesville, Virginia, 22903 |
| Abstract: | Spearman's rank correlation coefficient is shown to be a measure of distance on the unit square, which characterizes the concentration of the probability density under a copula. A distance function offers insight into structuring copulas with a desired degree of association. |
| Keywords: | association Spearman's rank correlation coefficient Pearson's correlation coefficient geometry of correlalation copula |