Entropy measure for the quantification of upper quantile interdependence in multivariate distributions

DOI10.1016/j.jmva.2015.05.004zbMath1323.62054arXiv1408.6681OpenAlexW562334054MaRDI QIDQ495358

Jhan Rodríguez, Andras Bárdossy

Publication date: 10 September 2015

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

Full work available at URL: https://arxiv.org/abs/1408.6681

zbMATH Keywords

entropyextremal coefficientmultivariate interdependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

Uses Software

• FinTS

Cites Work

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• Dimensionless Measures of Variability and Dependence for Multivariate Continuous Distributions
• Analysis of Financial Time Series