# Copula-based dependence measures

Dependence Modeling (2014)

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

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topEckhard 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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