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

  • Valentina MameliEmail author
  • Alessandra R. Brazzale
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 274)

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.

Keywords

Equi-correlated bivariate normal model Gaussian copula Gini’s gamma index Modified signed likelihood root 

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of Environmental Sciences, Informatics and StatisticsCa’ Foscari University of VeniceVeniceItaly
  2. 2.Department of Statistical SciencesUniversity of PadovaPadovaItaly

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