{"id":"https://openalex.org/W4405955505","doi":"https://doi.org/10.1016/j.jmva.2026.105633","title":"Kendall\u2019s tau and Spearman\u2019s rho for normal location-scale and skew-normal scale mixture copulas","display_name":"Kendall\u2019s tau and Spearman\u2019s rho for normal location-scale and skew-normal scale mixture copulas","publication_year":2026,"publication_date":"2026-03-17","ids":{"openalex":"https://openalex.org/W4405955505","doi":"https://doi.org/10.1016/j.jmva.2026.105633"},"language":"en","primary_location":{"id":"doi:10.1016/j.jmva.2026.105633","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2026.105633","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Multivariate Analysis","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1016/j.jmva.2026.105633","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5022547077","display_name":"Ye L\u00fc","orcid":"https://orcid.org/0000-0001-9054-2644"},"institutions":[{"id":"https://openalex.org/I129604602","display_name":"The University of Sydney","ror":"https://ror.org/0384j8v12","country_code":"AU","type":"education","lineage":["https://openalex.org/I129604602"]},{"id":"https://openalex.org/I4210088648","display_name":"Cooperative Trials Group for Neuro-Oncology","ror":"https://ror.org/004gchq58","country_code":"AU","type":"other","lineage":["https://openalex.org/I4210088648"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Ye Lu","raw_affiliation_strings":["514 Social Sciences Building, University of Sydney, Camperdown, NSW 2050, Australia"],"affiliations":[{"raw_affiliation_string":"514 Social Sciences Building, University of Sydney, Camperdown, NSW 2050, Australia","institution_ids":["https://openalex.org/I129604602","https://openalex.org/I4210088648"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5022547077"],"corresponding_institution_ids":["https://openalex.org/I129604602","https://openalex.org/I4210088648"],"apc_list":{"value":3060,"currency":"USD","value_usd":3060},"apc_paid":{"value":3060,"currency":"USD","value_usd":3060},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.00427936,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"214","issue":null,"first_page":"105633","last_page":"105633"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/skew","display_name":"Skew","score":0.7805347442626953},{"id":"https://openalex.org/keywords/spearmans-rank-correlation-coefficient","display_name":"Spearman's rank correlation coefficient","score":0.6979142427444458},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6093543767929077},{"id":"https://openalex.org/keywords/rank-correlation","display_name":"Rank correlation","score":0.5630178451538086},{"id":"https://openalex.org/keywords/rank","display_name":"Rank (graph theory)","score":0.5495608448982239},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5090746283531189},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.4584557116031647},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4508013427257538},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.26782459020614624},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.21156534552574158}],"concepts":[{"id":"https://openalex.org/C43711488","wikidata":"https://www.wikidata.org/wiki/Q7534783","display_name":"Skew","level":2,"score":0.7805347442626953},{"id":"https://openalex.org/C159744936","wikidata":"https://www.wikidata.org/wiki/Q1126730","display_name":"Spearman's rank correlation coefficient","level":2,"score":0.6979142427444458},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6093543767929077},{"id":"https://openalex.org/C101601086","wikidata":"https://www.wikidata.org/wiki/Q3753228","display_name":"Rank correlation","level":2,"score":0.5630178451538086},{"id":"https://openalex.org/C164226766","wikidata":"https://www.wikidata.org/wiki/Q7293202","display_name":"Rank (graph theory)","level":2,"score":0.5495608448982239},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5090746283531189},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.4584557116031647},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4508013427257538},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.26782459020614624},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.21156534552574158},{"id":"https://openalex.org/C76155785","wikidata":"https://www.wikidata.org/wiki/Q418","display_name":"Telecommunications","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.jmva.2026.105633","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2026.105633","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Multivariate Analysis","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2412.20013","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2412.20013","pdf_url":"https://arxiv.org/pdf/2412.20013","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"doi:10.48550/arxiv.2412.20013","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2412.20013","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1016/j.jmva.2026.105633","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.jmva.2026.105633","pdf_url":null,"source":{"id":"https://openalex.org/S133905466","display_name":"Journal of Multivariate Analysis","issn_l":"0047-259X","issn":["0047-259X","1095-7243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Multivariate Analysis","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1982914322","https://openalex.org/W1975419935","https://openalex.org/W2033076513","https://openalex.org/W3022547221","https://openalex.org/W3126084603","https://openalex.org/W2127958806","https://openalex.org/W2070469752","https://openalex.org/W2030061514","https://openalex.org/W3035458135","https://openalex.org/W4286652683","https://openalex.org/W2030696482","https://openalex.org/W2336162261","https://openalex.org/W4315750396","https://openalex.org/W1968630765","https://openalex.org/W4237691765","https://openalex.org/W2804760238"],"related_works":["https://openalex.org/W2096962026","https://openalex.org/W2319525095","https://openalex.org/W2034896522","https://openalex.org/W2802734970","https://openalex.org/W2368363712","https://openalex.org/W4251214348","https://openalex.org/W2031235730","https://openalex.org/W2153289787","https://openalex.org/W2354721754","https://openalex.org/W2562018983"],"abstract_inverted_index":{"We":[0],"derive":[1],"explicit":[2],"formulas":[3,48],"for":[4,10,145],"Kendall\u2019s":[5],"tau":[6],"and":[7,21,38,59,62,71],"Spearman\u2019s":[8],"rho":[9],"two":[11,81],"broad":[12],"classes":[13,27],"of":[14,90,101,124],"asymmetric":[15],"copulas:":[16],"normal":[17,34,93],"location-scale":[18,94],"mixture":[19,24,95,148],"copulas":[20,96],"skew-normal":[22,146],"scale":[23,35,147],"copulas.":[25,149],"These":[26],"encompass":[28],"widely":[29],"used":[30],"specifications,":[31],"including":[32],"the":[33,75,88,98,105,134],"mixture,":[36],"skew-normal,":[37],"various":[39],"skew-":[40],"t":[41],"copulas,":[42],"as":[43],"special":[44],"cases.":[45],"The":[46],"derived":[47],"establish":[49],"functional":[50],"mappings":[51],"from":[52,74,104],"copula":[53],"parameters":[54,66],"to":[55,120],"rank":[56,68,102],"correlation":[57,69],"coefficients,":[58],"we":[60],"investigate":[61],"compare":[63],"how":[64],"asymmetry":[65,91],"influence":[67],"properties":[70],"drive":[72],"departures":[73],"elliptically":[76],"symmetric":[77],"case":[78],"within":[79],"these":[80],"classes.":[82],"A":[83],"notable":[84],"finding":[85],"is":[86,115],"that":[87],"introduction":[89],"in":[92],"restricts":[97],"attainable":[99,144],"range":[100],"correlations":[103],"standard":[106],"[":[107,125,137],"\u2212":[108,126,138],"1":[109,111,127,129,139,141],",":[110,128,140],"]":[112,130,142],"interval,":[113],"which":[114],"observed":[116],"under":[117],"elliptical":[118],"symmetry,":[119],"a":[121],"strict":[122],"subset":[123],".":[131],"In":[132],"contrast,":[133],"entire":[135],"interval":[136],"remains":[143]},"counts_by_year":[],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-01-01T00:00:00"}