| 随机变量相依关系的度量 |
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| 引用本文： | 严忠权.随机变量相依关系的度量[J].黔南民族师范学院学报,2008,28(6):34-38. |
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| 作者姓名： | 严忠权 |
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| 作者单位： | 黔南民族师范学院数学系,贵州,都匀,558000 |
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| 摘 要： | 首先研究了相关系数在度量随机变量相依关系上的优点和缺陷，介绍了度量随机变量相依关系的理想统计量应具备的条件，针对联合分布可拆成一元边际分布和Copula的积，因此连接联合分布与边际分布的Copula函数应包含随机变量相依关系的一切信息，在此基础上给出了基于Copula函数表示的Spearman’s相关系数和Kendall’s相关系数以及它们的性质．
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| 关 键 词： | 相依性 相关系数 Copula函数 Spearman's相关系数 Kendall's相关系数 |
The Measurement of the Dependent Relationship of Random Variables |
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| YAN Zhong-quan.The Measurement of the Dependent Relationship of Random Variables[J].Journal of Qiannan Normal College of Nationalities,2008,28(6):34-38. |
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| Authors: | YAN Zhong-quan |
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| Institution: | YAN Zhong -quan (Dept. , of Mathematics, Qiannan Normal University for Nationalities, Duyun 558000, China) |
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| Abstract: | This paper first researches the merits and limitations of the correlation coefficient with regard to the measurement of the dependent relationship of random variables,and introduces the necessary conditions for the ideal statistics of the measurement of the dependent relationshipof random variables.Since the joint distribution can be divided into marginal distribution and the product of Copula function,the Copula function connecting the joint distribution with the marginal distribution should contain all the information of the dependent relationship of random variables,and based on this,the paper provides Spearman's correlation coefficient and Kendall's correlation coefficient based on Copula function and their properties. |
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| Keywords: | dependent relationship correlation coefficient Copula function Spearman's correlation coefficient Kendall's correlation coefficient |
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