Displaying similar documents to “On the conditional intensity of a random measure”

A subcopula based dependence measure

Arturo Erdely (2017)

Kybernetika

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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.

Dependence Measuring from Conditional Variances

Noppadon Kamnitui, Tippawan Santiwipanont, Songkiat Sumetkijakan (2015)

Dependence Modeling

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A conditional variance is an indicator of the level of independence between two random variables. We exploit this intuitive relationship and define a measure v which is almost a measure of mutual complete dependence. Unsurprisingly, the measure attains its minimum value for many pairs of non-independent ran- dom variables. Adjusting the measure so as to make it invariant under all Borel measurable injective trans- formations, we obtain a copula-based measure of dependence v* satisfying...