A multivariate version of Hoeffding's phi-square

DOI10.1016/J.JMVA.2010.07.006MaRDI QIDQ604371zbMATH OpenOpenAlexFDO

Authors Sandra Gaißer, Martin Ruppert, Friedrich Schmid

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

copulanonparametric estimationstrong mixingweak convergenceempirical copula processnonparametric bootstrapmultivariate measure of association

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)

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Cited in

(18)

• Some new copula based distribution-free tests of independence among several random variables
• Tests of mutual independence among several random vectors using univariate and multivariate ranks of nearest neighbours
• Kernel-based tests for joint independence
• Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
• Sobolev convergence of empirical Bernstein copulas
• Test of independence for Hilbertian random variables
• A copula based ICA algorithm and its application to time series clustering
• Copula-based dependence measures
• A measure of multivariate mutual complete dependence
• On some consistent tests of mutual independence among several random vectors of arbitrary dimensions
• Multivariate extensions of Spearman's rho and related statistics
• A data depth based nonparametric test of independence between two random vectors
• Some copula-based tests of independence among several random variables having arbitrary probability distributions
• Hoeffding Identity, Multivariance And Multicorrelation
• Mutual information as a measure of multivariate association: analytical properties and statistical estimation
• Parametric dependence between random vectors via copula-based divergence measures
• On metric spaces of subcopulas
• A review of copula models for economic time series

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