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arXiv · 2011.09053

Matrix compatibility and correlation mixture representation of generalized Gini's gamma

Takaaki Koike·Marius Hofert
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Abstract

Representations of measures of concordance in terms of Pearson' s correlation coefficient are studied. All transforms of random variables are characterized such that the correlation coefficient of the transformed random variables is a measure of concordance. Next, Gini' s gamma is generalized and it is shown that the resulting generalized Gini' s gamma can be represented as a mixture of measures of concordance that are Pearson' s correlation coefficients of transformed random variables. As an application of this correlation mixture representation of generalized Gini' s gamma, lower and upper bounds of the compatible set of generalized Gini' s gamma, which is the collection of all possible square matrices whose entries are pairwise bivariate generalized Gini' s gammas, are derived.

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Takaaki Koike, Marius Hofert. 2020-11-18. Matrix compatibility and correlation mixture representation of generalized Gini's gamma. https://arxiv.org/abs/2011.09053

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