A subcopula based dependence measure.

DOI10.14736/KYB-2017-2-0231MaRDI QIDQ5355104zbMATH OpenOpenAlexFDO

Authors Arturo Erdely

Publication date 6 September 2017

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.00780

zbMATH Keywords

concordancedependencesubcopula

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the proposed dependence measure based on the empirical subcopula is provided, along with an R package to perform the corresponding calculations.

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• scientific article; zbMATH DE number 3965211

Cited in

(6)

• Some families of generalized hypergeometric functions associated with the Hardy space of analytic functions
• On metric spaces of subcopulas
• On a distribution form of subcopulas
• Visualizing association structure in bivariate copulas using new dependence function
• A note on measuring the nonlinear dependence via subcopula based regression
• Dependence of random variables based on copula theory

Describes a project that uses

Uses Software

• copula
• copula
• R
• subcopem2D

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