A subcopula based dependence measure

Arturo Erdely

Kybernetika (2017)

  • Volume: 53, Issue: 2, page 231-243
  • ISSN: 0023-5954

Abstract

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A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the proposed dependence measure based on the empirical subcopula is provided, along with an R package to perform the corresponding calculations.

How to cite

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Erdely, Arturo. "A subcopula based dependence measure." Kybernetika 53.2 (2017): 231-243. <http://eudml.org/doc/288202>.

@article{Erdely2017,
abstract = {A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the proposed dependence measure based on the empirical subcopula is provided, along with an R package to perform the corresponding calculations.},
author = {Erdely, Arturo},
journal = {Kybernetika},
keywords = {subcopula; dependence; concordance},
language = {eng},
number = {2},
pages = {231-243},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A subcopula based dependence measure},
url = {http://eudml.org/doc/288202},
volume = {53},
year = {2017},
}

TY - JOUR
AU - Erdely, Arturo
TI - A subcopula based dependence measure
JO - Kybernetika
PY - 2017
PB - Institute of Information Theory and Automation AS CR
VL - 53
IS - 2
SP - 231
EP - 243
AB - A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the proposed dependence measure based on the empirical subcopula is provided, along with an R package to perform the corresponding calculations.
LA - eng
KW - subcopula; dependence; concordance
UR - http://eudml.org/doc/288202
ER -

References

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  9. Li, X., Mikusiński, P., Sherwood, H., Taylor, M. D, 10.1007/978-94-011-5532-8_13, In: Distributions with given marginals and moment problems (V. Beneš and J. Štěpán, eds.), Kluwer, Dordrecht 1997, pp. 107-116. Zbl0905.60015MR1614663DOI10.1007/978-94-011-5532-8_13
  10. Nelsen, R. B., 10.1007/0-387-28678-0, Springer, New York 2006. Zbl1152.62030MR2197664DOI10.1007/0-387-28678-0
  11. Nešlehová, J., 10.1016/j.jmva.2005.11.007, J. Mult. Anal. 98 (2007), 544-567. Zbl1107.62047MR2293014DOI10.1016/j.jmva.2005.11.007
  12. Team, R Core, , R Foundation for Statistical Computing (Vienna), URL DOI
  13. Scarsini, M., On measures of concordance., Stochastica 8 (1984), 201-218. Zbl0582.62047MR0796650
  14. Schweizer, B., Wolff, E. F., 10.1214/aos/1176345528, Ann. Statist. 9 (1981), 879-885. Zbl0468.62012MR0619291DOI10.1214/aos/1176345528
  15. Sklar, A., Fonctions de répartition à n dimensions et leurs marges., Publ. Inst. Statist. Univ. Paris 8 (1959), 229-231. MR0125600

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