Ordinal pattern dependence as a multivariate dependence measure

DOI10.1016/J.JMVA.2021.104798MaRDI QIDQ2237816zbMATH OpenOpenAlexFDO

Authors Annika Betken, Ines Nüßgen, Alexander Schnurr, Herold Dehling

Publication date 28 October 2021

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

Full work available at URL https://arxiv.org/abs/2012.02445

zbMATH Keywords

concordance orderinglimit theoremsmultivariate dependenceordinal patternordinal pattern dependencetime series

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this article, we show that the recently introduced ordinal pattern dependence fits into the axiomatic framework of general multivariate dependence measures, i.e., measures of dependence between two multivariate random objects. Furthermore, we consider multivariate generalizations of established univariate dependence measures like Kendall's $au$, Spearman's $ho$ and Pearson's correlation coefficient. Among these, only multivariate Kendall's $au$ proves to take the dynamical dependence of random vectors stemming from multidimensional time series into account. Consequently, the article focuses on a comparison of ordinal pattern dependence and multivariate Kendall's $au$ in this context. To this end, limit theorems for multivariate Kendall's $au$ are established under the assumption of near-epoch dependent data-generating time series. We analyze how ordinal pattern dependence compares to multivariate Kendall's $au$ and Pearson's correlation coefficient on theoretical grounds. Additionally, a simulation study illustrates differences in the kind of dependencies that are revealed by multivariate Kendall's $au$ and ordinal pattern dependence.

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Cited in

(7)

• Generalized ordinal patterns allowing for ties and their applications in hydrology
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Measuring linear correlation between random vectors
• Ordinal pattern dependence and multivariate measures of dependence
• Non-parametric entropy tests for spatial dependence
• Non-parametric tests for cross-dependence based on multivariate extensions of ordinal patterns
• Depth patterns and their applications in animal tracking

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