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

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• Multivariate versions of Blomqvist's beta and Spearman's footrule
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• Some new parametric families of multivariate copulas
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