Local Gaussian correlation: a new measure of dependence
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Cites work
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- Brownian distance covariance
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- Correlation curves: Measures of association as functions of covariate values
- Dependence function for continuous bivariate densities
- Estimating the tail-dependence coefficient: properties and pitfalls
- Estimation in nonlinear time series models
- Generalized autoregressive conditional heteroscedasticity
- Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
- Local Regression and Likelihood
- Local likelihood density estimation and value-at-risk
- Locally parametric nonparametric density estimation
- Miscellanea. The local dependence function
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- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- On conditional least squares estimation for stochastic processes
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Remarks on a Multivariate Transformation
- The extremogram: a correlogram for extreme events
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
Cited in
(31)- Local Gaussian Autocorrelation and Tests for Serial Independence
- 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
- Filtering with state space localized Kalman gain
- 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
- Inference on the tail process with application to financial time series modeling
- Adapted Chatterjee correlation coefficient
- Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
- Three non-Gaussian models of dependence in returns
- The Locally Gaussian Partial Correlation
- Estimating and Testing Nonlinear Local Dependence Between Two Time Series
- 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
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