Parametric dependence between random vectors via copula-based divergence measures

DOI10.1016/J.JMVA.2024.105336MaRDI QIDQ6596179zbMATH OpenFDO

Authors Steven De Keyser, Irène Gijbels

Publication date 2 September 2024

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

Full work available at URL https://doi.org/10.1016/J.JMVA.2024.105336

zbMATH Keywords

\(\Phi\)-divergenceHellinger distancemutual informationnested Archimedean copulanormal scores rank correlation

Mathematics Subject Classification ID

Parametric inference (62Fxx) Multivariate analysis (62Hxx)

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Cited in

(4)

• Compositional data graphical model learning based on conditional independence measurement
• Identifying regions of concomitant compound precipitation and wind speed extremes over Europe
• High-dimensional copula-based Wasserstein dependence
• Minimum copula divergence for robust estimation

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