Magdalena Niewiadomska-Bugaj, Teresa Kowalczyk

On the procedure of maximizing generalized Kendall's tau

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Abstract

Transformations that maximize the strength of dependence of jointly distributed random variables are of a great importance in various data analysis problems. This paper presents the procedure of maximization of a generalized Kendall's $tau$ - a coefficient of a monotone dependence in bivariate data.

The results of a simulation study of the properties of the proposed procedure are presented.

Key words and phrases: Kendall's tau, maximal dependence, total positivity of order two.