Entropy measure for the quantification of upper quantile interdependence in multivariate distributions

DOI10.1016/J.JMVA.2015.05.004MaRDI QIDQ495358zbMATH OpenOpenAlexFDO

Authors Jhan Rodríguez, Andras Bárdossy

Publication date 10 September 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.6681

zbMATH Keywords

entropyextremal coefficientmultivariate interdependence

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Measures of information, entropy (94A17)

Abstract: We introduce a new measure of interdependence among the components of a random vector along the main diagonal of the vector copula, i.e. along the line $u_1=ldots=u_J$, for $left(u_1,ldots,u_{J}ight)inleft[0,1ight{]}^J$. Our measure is related to the Shannon entropy of a discrete random variable, hence we call it an "entropy index". This entropy index is invariant with respect to marginal non-decreasing transformations and can be used to quantify the intensity of the vector components association in arbitrary dimensions. We show the applicability of our entropy index by an example with real data of 4 stock prices of the DAX index. In case the random vector is in the domain of attraction of an extreme value distribution, our index is shown to have as limit the distribution's extremal coefficient, which can be interpreted as the effective number of asymptotically independent components in the vector.

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Cites work

• A dependence measure for multivariate and spatial extreme values: Properties and inference
• Analysis of Financial Time Series
• CuBIC: cumulant based inference of higher-order correlations in massively parallel spike trains
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• Extreme value properties of multivariate t copulas
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• The herd behavior index: a new measure for the implied degree of co-movement in stock markets

Cited in

(2)

• A copula entropy approach to correlation measurement at the country level
• scientific article; zbMATH DE number 992392 (Why is no real title available?)

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