Local Gaussian correlation: a new measure of dependence
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Publication:528115
DOI10.1016/J.JECONOM.2012.08.001zbMATH Open1443.62288OpenAlexW2080081864MaRDI QIDQ528115FDOQ528115
Authors: Karl Ove Hufthammer, Dag Tjøstheim 
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
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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 (31)
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Local dependence functions for the elliptically symmetric distributions
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
- Nonparametric estimation of Sibuya's measure of local dependence for time series
- Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
- Nonlinear Spectral Analysis: A Local Gaussian Approach
- Adapted Chatterjee correlation coefficient
- Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
- Filtering with state space localized Kalman gain
- The Locally Gaussian Partial Correlation
- Estimating and Testing Nonlinear Local Dependence Between Two Time Series
- Three non-Gaussian models of dependence in returns
- Inference on the tail process with application to financial time series modeling
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- Heritability curves: a local measure of heritability in family models
- A note on the equivalence between the conditional uncorrelation and the independence of random variables
- Nonparametric estimation of time varying correlation coefficient
- Some properties of local Gaussian correlation and other nonlinear dependence measures
- Statistical modeling using local Gaussian approximation
- Local correlation dimension of multidimensional stochastic process
- Statistical dependence: beyond Pearson's \(\rho\)
- Local Gaussian correlations in financial and commodity markets
- Validation of association
- Pairwise local Fisher and naive Bayes: improving two standard discriminants
- Conditional density estimation using the local Gaussian correlation
- The locally Gaussian density estimator for multivariate data
- Discussion of: ``Models as approximations
- Bias and bandwidth for local likelihood density estimation
- Different coefficients for studying dependence
- Local Gaussian Autocorrelation and Tests for Serial Independence
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