The partial copula: properties and associated dependence measures
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Publication:334002
DOI10.1016/J.SPL.2016.07.014zbMATH Open1398.62150arXiv1511.06665OpenAlexW2317775046MaRDI QIDQ334002FDOQ334002
Publication date: 31 October 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial copula, which is a natural generalization of the partial correlation coefficient, and investigate several of its properties. In addition, properties of some associated partial dependence measures are examined.
Full work available at URL: https://arxiv.org/abs/1511.06665
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Cited In (12)
- Weighted Entropic Copula from Preliminary Knowledge of Dependence
- Estimating non-simplified vine copulas using penalized splines
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Study of partial and average conditional Kendall's tau
- Title not available (Why is that?)
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Testing the simplifying assumption in high-dimensional vine copulas
- Median and quantile conditional copulas
- Title not available (Why is that?)
- PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
- Dependence measures for perturbations of copulas
- Partial and average copulas and association measures
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