Copula-based dependence measures

• Autorzy: Eckhard Liebscher
• Języki publikacji: EN

Abstrakty

EN

The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.

Słowa kluczowe

EN

dependence measures; pearman’s ρ; Spearman’s footrule; estimators for dependence measures

Kategorie tematyczne

• 62H20: Measures of association (correlation, canonical correlation, etc.)

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2014
• Tom: 2
• Numer: 1

Daty

otrzymano

2014-05-23

zaakceptowano

2014-09-17

online

2014-10-10

Twórcy

autor

Eckhard Liebscher

• University of Applied Sciences Merseburg, Department of Computer Science
  and Communication Systems, D-06217 Merseburg, Germany

Bibliografia

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Identyfikatory

DOI

10.2478/demo-2014-0004