On a multivariate copula-based dependence measure and its estimation
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Publication:2137794
DOI10.1214/22-EJS2005MaRDI QIDQ2137794
Florian Griessenberger, Wolfgang Trutschnig, Robert R. Junker
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.12883
Related Items (9)
Maximal asymmetry of bivariate copulas and consequences to measures of dependence ⋮ Measuring association with Wasserstein distances ⋮ On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform ⋮ Sensitivity measures based on scoring functions ⋮ Quantifying directed dependence via dimension reduction ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Copula modeling from Abe Sklar to the present day ⋮ Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient ⋮ Rearranged dependence measures
Uses Software
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