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Kendall's [tau] is equal to the correlation coefficient for the BVE distribution

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  • deB. Edwardes, Michael D.

Abstract

For the BVE (BiVariate Exponential) distribution, defined and explained by Marshall and Olkin (1967), the population Kendall's [tau] (1948), which is the probability of concordance minus the probability of discordance for a bivariate distribution, is shown to be equal to the population correlation coefficient. Moreover, Kendall's t statistic is superior to Pearson's r for estimating the BVE correlation. Some other bivariate distributions, due to Gumbel, Morgenstern and Freund, are also considered.

Suggested Citation

  • deB. Edwardes, Michael D., 1993. "Kendall's [tau] is equal to the correlation coefficient for the BVE distribution," Statistics & Probability Letters, Elsevier, vol. 17(5), pages 415-419, August.
    • Handle: RePEc:eee:stapro:v:17:y:1993:i:5:p:415-419
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    Cited by:

    1. Ebrahimi, Nader & Jalali, Nima Y. & Soofi, Ehsan S., 2014. "Comparison, utility, and partition of dependence under absolutely continuous and singular distributions," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 32-50.

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