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GATE 2021 ST – Question 17

Joint Distributions · Joint and Conditional Distributions · 1 mark · Multiple choice

(X,Y) is bivariate normal with mean zero,unit marginal variances and correlation ρ∈(−1,1). Let Φ_ρ(0,0)=P(X≤0,Y≤0). Find Kendall’s τ.

  1. 4Φ_ρ(0,0)−1
  2. 4Φ_ρ(0,0)
  3. 4Φ_ρ(0,0)+1
  4. Φ_ρ(0,0)

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Correct answer: (A) 4Φ_ρ(0,0)−1

Explanation

Take an independent copy (X′,Y′). The differences have the same standardized correlation ρ,so their concordance probability is 2Φ_ρ(0,0). Discordance is its complement. Therefore τ=P(concordant)−P(discordant)=4Φ_ρ(0,0)−1. **A**.

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