A multivariate version of Hoeffding's phi-square

DOI10.1016/j.jmva.2010.07.006zbMath1198.62056OpenAlexW2044093616MaRDI QIDQ604371

Friedrich Schmid, Sandra Gaißer, Martin Ruppert

Publication date: 10 November 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.07.006

zbMATH Keywords

copulaweak convergencenonparametric bootstrapstrong mixingnonparametric estimationempirical copula processmultivariate measure of association

Mathematics Subject Classification ID

Related Items (12)

Mutual information as a measure of multivariate association: analytical properties and statistical estimation ⋮ Tests of mutual independence among several random vectors using univariate and multivariate ranks of nearest neighbours ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ A review of copula models for economic time series ⋮ On some consistent tests of mutual independence among several random vectors of arbitrary dimensions ⋮ Sobolev Convergence of Empirical Bernstein Copulas ⋮ Copula-based dependence measures ⋮ On metric spaces of subcopulas ⋮ Kernel-Based Tests for Joint Independence ⋮ A copula based ICA algorithm and its application to time series clustering ⋮ Some new copula based distribution-free tests of independence among several random variables ⋮ A measure of multivariate mutual complete dependence

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