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BY 4.0 license Open Access Published by De Gruyter Open Access December 16, 2020

Two symmetric and computationally efficient Gini correlations

  • Courtney Vanderford , Yongli Sang and Xin Dang EMAIL logo
From the journal Dependence Modeling


Standard Gini correlation plays an important role in measuring the dependence between random variables with heavy-tailed distributions. It is based on the covariance between one variable and the rank of the other. Hence for each pair of random variables, there are two Gini correlations and they are not equal in general, which brings a substantial difficulty in interpretation. Recently, Sang et al (2016) proposed a symmetric Gini correlation based on the joint spatial rank function with a computation cost of O(n2) where n is the sample size. In this paper, we study two symmetric and computationally efficient Gini correlations with the computational complexity of O(n log n). The properties of the new symmetric Gini correlations are explored. The influence function approach is utilized to study the robustness and the asymptotic behavior of these correlations. The asymptotic relative efficiencies are considered to compare several popular correlations under symmetric distributions with different tail-heaviness as well as an asymmetric log-normal distribution. Simulation and real data application are conducted to demonstrate the desirable performance of the two new symmetric Gini correlations.

MSC 2010: 62G35; 62G20


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Received: 2020-10-07
Accepted: 2020-11-26
Published Online: 2020-12-16

© 2020 Courtney Vanderford et al., published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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