On a multivariate copula-based dependence measure and its estimation
From MaRDI portal
Publication:2137794
DOI10.1214/22-EJS2005MaRDI QIDQ2137794
Florian Griessenberger, Wolfgang Trutschnig, Robert R. Junker
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.12883
Related Items (10)
Maximal asymmetry of bivariate copulas and consequences to measures of dependence ⋮ Measuring association with Wasserstein distances ⋮ On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform ⋮ Sensitivity measures based on scoring functions ⋮ Quantifying directed dependence via dimension reduction ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Copula modeling from Abe Sklar to the present day ⋮ Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient ⋮ Rearranged dependence measures ⋮ Dependence properties of bivariate copula families
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Measuring and testing dependence by correlation of distances
- Estimating scale-invariant directed dependence of bivariate distributions
- On a strong metric on the space of copulas and its induced dependence measure
- A simple measure of conditional dependence
- A new coefficient of correlation
- Detecting Novel Associations in Large Data Sets
- Measure of complete dependence of random vectors
- Factor copula models for multivariate data
- On the empirical multilinear copula process for count data
- Large sample behavior of the Bernstein copula estimator
- Some approximations of \(n\)-copulas
- Multivariate shuffles and approximation of copulas
- An introduction to copulas.
- On the distributional transform, Sklar's theorem, and the empirical copula process
- Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
- Brownian distance covariance
- An empirical study of the maximal and total information coefficients and leading measures of dependence
- Linkages: A tool for the construction of multivariate distributions with given nonoverlapping multivariate marginals
- On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Sklar's theorem, copula products, and ordering results in factor models
- Structured factor copula models: theory, inference and computation
- On regression representations of stochastic processes
- On Conditionally Independent Random Variables, Copula and Order Statistics
- Markov operators and n-copulas
- Relative Entropy Measures of Multivariate Dependence
- Stochastically ordered distributions and monotonicity of the oc-function of sequential probability ratio tests
- A Copula‐Based Non‐parametric Measure of Regression Dependence
- On the power of Chatterjee’s rank correlation
- Principles of Copula Theory
- Correlation and Complete Dependence of Random Variables
- Remarks on a Multivariate Transformation
This page was built for publication: On a multivariate copula-based dependence measure and its estimation
