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Frequentist and Bayesian Small-Sample Confidence Intervals for Gini’s Gamma Index in a Gaussian Bivariate Copula

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Book cover Theoretical and Applied Statistics (SIS 2015)

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 274))

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Abstract

In this paper we consider frequentist and Bayesian likelihood-based small-sample procedures to compute confidence intervals for Gini’s gamma index in the bivariate Gaussian copula model. We furthermore discuss how the method straightforwardly extends to any measure of concordance which is available in closed form, and to any type of copula for which the considered measure of concordance has a closed-form expression.

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Author information

Authors and Affiliations

  1. Department of Environmental Sciences, Informatics and Statistics, Ca’ Foscari University of Venice, Venice, Italy

    Valentina Mameli

  2. Department of Statistical Sciences, University of Padova, Padova, Italy

    Alessandra R. Brazzale

Authors
  1. Valentina Mameli
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  2. Alessandra R. Brazzale
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Corresponding author

Correspondence to Valentina Mameli .

Editor information

Editors and Affiliations

  1. Department of Economics, University of Foggia, Foggia, Italy

    Corrado Crocetta

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Mameli, V., Brazzale, A.R. (2019). Frequentist and Bayesian Small-Sample Confidence Intervals for Gini’s Gamma Index in a Gaussian Bivariate Copula. In: Crocetta, C. (eds) Theoretical and Applied Statistics. SIS 2015. Springer Proceedings in Mathematics & Statistics, vol 274. Springer, Cham. https://doi.org/10.1007/978-3-030-05420-5_6

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