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 language | English |
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Pages (from-to) | 133-138 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 63 |
Issue number | 2 |
DOIs | |
State | Published - 1 Jan 1999 |
Keywords
- C10
- Gini decomposition
- I30
- Pearson
- Spearman
ASJC Scopus subject areas
- Finance
- Economics and Econometrics