1
$\begingroup$

I read that for continuous margins, then Rank correlation only depend on copula and not on the margins. However, it is not the case for the non-continuous margins. Is that because the Kendall's tau (for example) has a tie if the margins in not continuous? And why it then does not only depend on copula?

Any idea?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.