Copula-based dependence measures
نویسندگان
چکیده
منابع مشابه
Copula Structure Analysis Based on Robust and Extreme Dependence Measures
In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a ’correlation-like’ structure remains but different margins and non-existenc...
متن کاملStatistical Dependence: Copula Functions and Mutual Information Based Measures
Accurately and adequately modelling and analyzing relationships in real random phenomena involving several variables are prominent areas in statistical data analysis. Applications of such models are crucial and lead to severe economic and financial implications in human society. Since the beginning of developments in Statistical methodology as the formal scientific discipline, correlation based...
متن کاملCopula-based Kernel Dependency Measures
The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous properties. Similarly to Shannon mutual information, the proposed dependence measure is invariant to any strictly increasing transformation of the marginal v...
متن کاملInformation Measures via Copula Functions
In applications of differential geometry to problems of parametric inference, the notion of divergence is often used to measure the separation between two parametric densities. Among them, in this paper, we will verify measures such as Kullback-Leibler information, J-divergence, Hellinger distance, -Divergence, … and so on. Properties and results related to distance between probability d...
متن کاملCopula-based Orderings of Multivariate Dependence
In this paper I investigate the problem of de ning a multivariate dependence ordering. First, I provide a characterization of the concordance dependence ordering between multivariate random vectors with xed margins. Central to the characterization is a multivariate generalization of a well-known bivariate elementary dependence increasing rearrangement. Second, to order multivariate random vect...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2014
ISSN: 2300-2298
DOI: 10.2478/demo-2014-0004