Eliciting conditional and unconditional rank correlations from conditional probabilities

Abstract Causes of uncertainties may be interrelated and may introduce dependencies. Ignoring these dependencies may lead to large errors. A number of graphical models in probability theory such as dependence trees, vines and (continuous) Bayesian belief nets [Cooke RM. Markov and entropy properties of tree and vine-dependent variables. In: Proceedings of the ASA section on Bayesian statistical science, 1997; Kurowicka D, Cooke RM. Distribution-free continuous Bayesian belief nets. In: Proceedings of mathematical methods in reliability conference, 2004; Bedford TJ, Cooke RM. Vines—a new graphical model for dependent random variables. Ann Stat 2002; 30(4):1031–68; Kurowicka D, Cooke RM. Uncertainty analysis with high dimensional dependence modelling. New York: Wiley; 2006; Hanea AM, et al. Hybrid methods for quantifying and analyzing Bayesian belief nets. In: Proceedings of the 2005 ENBIS5 conference, 2005; Shachter RD, Kenley CR. Gaussian influence diagrams. Manage Sci 1998; 35(5) [15] .] have been developed to capture dependencies between random variables. The input for these models are various marginal distributions and dependence information, usually in the form of conditional rank correlations. Often expert elicitation is required. This paper focuses on dependence representation, and dependence elicitation. The techniques presented are illustrated with an application from aviation safety.