Multivariate medial correlation with applications
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Publication:830307
DOI10.1515/DEMO-2020-0019zbMATH Open1460.62090arXiv2004.05192OpenAlexW3114526641MaRDI QIDQ830307FDOQ830307
Marta Ferreira, Helena Ferreira
Publication date: 7 May 2021
Published in: Dependence Modeling (Search for Journal in Brave)
Abstract: We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist's coefficient, incorporates multivariate marginal dependencies and it preserves a stronger multivariate concordance relation. We determine the maximum and minimum values attainable and illustrate the results in some models. We end with an application on real datasets.
Full work available at URL: https://arxiv.org/abs/2004.05192
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