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A Measure of Association Based on Gini's Mean Difference

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  • Schechtman, Edna
  • Yitzhaki, Shlomo

Abstract

A measure of association between two random variables is proposed, which represents a compromise between the classical correlation coefficient and the rank correlation coefficient. The new measure is based on the covariance between two variables where one variable is taken in its variate values while the other is ranked. The large sample distribution of this measure is studied and some possible applications are mentioned.

Suggested Citation

  • Schechtman, Edna & Yitzhaki, Shlomo, 1985. "A Measure of Association Based on Gini's Mean Difference," Working Papers 232621, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
    • Handle: RePEc:ags:huaewp:232621
    DOI: 10.22004/ag.econ.232621
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    References listed on IDEAS

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    1. Shalit, Haim & Yitzhaki, Shlomo, 1984. "Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets," Journal of Finance, American Finance Association, vol. 39(5), pages 1449-1468, December.
    2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    3. P. J. Green, 1978. "Probability and Statistical Inference," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(1), pages 85-86, March.
    4. Lerman, Robert I & Yitzhaki, Shlomo, 1985. "Income Inequality Effects by Income," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 151-156, February.
    5. Lerman, Robert I. & Yitzhaki, Shlomo, 1984. "A note on the calculation and interpretation of the Gini index," Economics Letters, Elsevier, vol. 15(3-4), pages 363-368.
    6. Gastwirth, Joseph L, 1972. "The Estimation of the Lorenz Curve and Gini Index," The Review of Economics and Statistics, MIT Press, vol. 54(3), pages 306-316, August.
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