On the proper bounds of the Gini correlation

E. Schechtman, S. Yitzhaki

Research output: Contribution to journalArticlepeer-review

48 Scopus citations

Abstract

Gini correlation measures the dependence between two random variables, whose properties are a mixture of Pearson's and Spearman's correlations. For any given marginal distributions, the range of Gini correlation is [-1, 1]. (This property does not hold for Pearson's correlation). Some possible applications are given.

Original languageEnglish
Pages (from-to)133-138
Number of pages6
JournalEconomics Letters
Volume63
Issue number2
DOIs
StatePublished - 1 Jan 1999

Keywords

  • C10
  • Gini decomposition
  • I30
  • Pearson
  • Spearman

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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