Copula-based dependence measures

DOI10.2478/DEMO-2014-0004zbMath1328.62368OpenAlexW2034911490MaRDI QIDQ141080

Eckhard Liebscher, Eckhard Liebscher

Publication date: 10 January 2014

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/demo-2014-0004

zbMATH Keywords

dependence measuresSpearman's \(\rho\)Spearman's footruleestimators for dependence measures

Mathematics Subject Classification ID

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

Related Items (12)

On the exact region determined by Spearman's footrule and Gini's gamma ⋮ Kendall regression coefficient ⋮ Testing and dating structural changes in copula-based dependence measures ⋮ Mutual association measures ⋮ On the exact region determined by Spearman's rho and Spearman's footrule ⋮ Copula-based dependence measures for piecewise monotonicity ⋮ On the exact regions determined by Kendall's tau and other concordance measures ⋮ Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ depcoeff ⋮ Relation between non-exchangeability and measures of concordance of copulas ⋮ Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
• Measuring association and dependence between random vectors
• A multivariate version of Hoeffding's phi-square
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• An introduction to copulas.
• Multivariate extensions of Spearman's rho and related statistics
• A multivariate version of Gini's rank association coefficient
• On nonparametric measures of dependence for random variables
• Multivariate concordance
• On the asymptotic distribution of a general measure of monotone dependence
• Multivariate measures of concordance
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• Approximation Theorems of Mathematical Statistics
• Some new parametric families of multivariate copulas
• Asymptotic Statistics

This page was built for publication: Copula-based dependence measures