Copula-based dependence measures for piecewise monotonicity

DOI10.1515/DEMO-2017-0012MaRDI QIDQ1696996zbMATH OpenOpenAlexFDO

Authors Eckhard Liebscher

Publication date 15 February 2018

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2017-0012

zbMATH Keywords

dependence measuresestimators for dependence measuresSpearman's footrulepiecewise monotonicitySpearman's \(\varrho\)

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3932217 (Why is no real title available?)
• An introduction to copulas.
• Approximation Theorems of Mathematical Statistics
• Asymptotic Statistics
• Convergence of stochastic processes
• Copula-based dependence measures
• Measuring association and dependence between random vectors
• On nonparametric tests of positivity/monotonicity/convexity
• Testing the monotonicity or convexity of a function using regression splines
• Variational Analysis
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs

Cited in

(2)

• Copula index for detecting dependence and monotonicity between stochastic signals
• Copulas related to piecewise monotone functions of the interval and associated processes

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