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Kendall's Rank Correlation vs Pearson's Linear Correlation: A Proof Of Greiner's Relation

Daniel Berger

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Source: Crossref

Published: Jan 1, 2016

DOI: 10.2139/ssrn.2837712

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Source abstract

The aim of this paper is to give a proof of Greiner's equality which describes the relation between Kendall's rank correlation and the linear correlation according to Pearson in the case of correlated Gaussian random pairs.

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Kendall's Rank Correlation vs Pearson's Linear Correlation: A Proof Of Greiner's Relation — Mathematical Frontier Network