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Keywords:
subcopula; dependence; concordance
subcopula; dependence; concordance
Summary:
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.
References:
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