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.
Frequentist and Bayesian small-sample confidence intervals for Gini’s gamma index in a Gaussian Bivariate copula
Brazzale A. R.
2019
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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