Local Gaussian correlation: a new measure of dependence
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Publication:528115
DOI10.1016/J.JECONOM.2012.08.001zbMATH Open1443.62288OpenAlexW2080081864MaRDI QIDQ528115FDOQ528115
Dag Tjøstheim, Karl Ove Hufthammer
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001741
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (27)
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
- Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
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- Bias and bandwidth for local likelihood density estimation
- Different coefficients for studying dependence
- Local Gaussian Autocorrelation and Tests for Serial Independence
- Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
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