The partial copula: properties and associated dependence measures

DOI10.1016/J.SPL.2016.07.014MaRDI QIDQ334002zbMATH OpenOpenAlexFDO

Authors Fabian Spanhel, Malte S. Kurz

Publication date 31 October 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.06665

zbMATH Keywords

conditional copulapartial correlationpartial copulapartial Kendall's taupartial Spearman's rho

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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.

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Cited in

(14)

• Study of partial and average conditional Kendall's tau
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• scientific article; zbMATH DE number 5631923 (Why is no real title available?)
• Partial and average copulas and association measures
• Estimating non-simplified vine copulas using penalized splines
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• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
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