Copula-based dependence measures

Eckhard Liebscher

Dependence Modeling (2014)

  • Volume: 2, Issue: 1, page 49-64, electronic only
  • ISSN: 2300-2298

Abstract

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The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.

How to cite

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Eckhard Liebscher. "Copula-based dependence measures." Dependence Modeling 2.1 (2014): 49-64, electronic only. <http://eudml.org/doc/267476>.

@article{EckhardLiebscher2014,
abstract = {The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.},
author = {Eckhard Liebscher},
journal = {Dependence Modeling},
keywords = {dependence measures; pearman’s ρ; Spearman’s footrule; estimators for dependence measures; Spearman’s ; Spearman's footrule},
language = {eng},
number = {1},
pages = {49-64, electronic only},
title = {Copula-based dependence measures},
url = {http://eudml.org/doc/267476},
volume = {2},
year = {2014},
}

TY - JOUR
AU - Eckhard Liebscher
TI - Copula-based dependence measures
JO - Dependence Modeling
PY - 2014
VL - 2
IS - 1
SP - 49
EP - 64, electronic only
AB - The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.
LA - eng
KW - dependence measures; pearman’s ρ; Spearman’s footrule; estimators for dependence measures; Spearman’s ; Spearman's footrule
UR - http://eudml.org/doc/267476
ER -

References

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