Focusing on point-scale random variables, i.e., variables whose support space is given by the first m integers, we discuss how a desired value of Pearson’s correlation can be induced between two assigned probability distributions, which are linked to a joint distribution via a copula function. After recalling how the value of the desired is not free to vary within [1; +1], but is bounded to a narrower interval depending on the two marginal distributions, we devise a procedure to recover the same feasible value for different dependence structures, focusing on one-parameter copulas encompassing the entire dependence spectrum.
Inducing a desired value of correlation between two point-scale variables / A. Barbiero (QUADERNI). - In: ASMOD 2018 Proceedings of the International Conference on Advances in Statistical Modelling of Ordinal Data / [a cura di] S. Capecchi, F. Di Iorio, R. Simone. - Prima edizione. - Napoli : FedOA Press, 2018. - ISBN 9788868870423. - pp. 45-52 (( convegno ASMOD tenutosi a Napoli nel 2018.
Inducing a desired value of correlation between two point-scale variables
A. Barbiero
2018
Abstract
Focusing on point-scale random variables, i.e., variables whose support space is given by the first m integers, we discuss how a desired value of Pearson’s correlation can be induced between two assigned probability distributions, which are linked to a joint distribution via a copula function. After recalling how the value of the desired is not free to vary within [1; +1], but is bounded to a narrower interval depending on the two marginal distributions, we devise a procedure to recover the same feasible value for different dependence structures, focusing on one-parameter copulas encompassing the entire dependence spectrum.File | Dimensione | Formato | |
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