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Copula-based dependence measures

100%

Liebscher E.

Dependence Modeling

2014

tom 2

nr 1

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.

Copula-Based Dependence Measures For Piecewise Monotonicity

100%

Liebscher E.

Dependence Modeling

2017

tom 5

nr 1

198-220

The aim of the present paper is to develop and examine association coefficients which can be helpfully applied in the framework of regression analysis. The construction of the coeffiecients is connected with the well-known Spearman coeffiecient and extensions of it (see Liebscher [5]). The proposed coeffiecient measures the discrepancy between the data points and a function which is strictly increasing on one interval and strictly decreasing in the remaining domain.We prove statements about the asymptotic behaviour of the estimated coeffiecient (convergence rate, asymptotic normality).

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2 Dependence Modeling

2 Liebscher E.

1 2017

1 2014

Wyniki wyszukiwania

Copula-based dependence measures

Copula-Based Dependence Measures For Piecewise Monotonicity