| Title:
|
A subcopula based dependence measure (English) |
| Author:
|
Erdely, Arturo |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
53 |
| Issue:
|
2 |
| Year:
|
2017 |
| Pages:
|
231-243 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| 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. (English) |
| Keyword:
|
subcopula |
| Keyword:
|
dependence |
| Keyword:
|
concordance |
| MSC:
|
62H20 |
| idZBL:
|
Zbl 06770166 |
| idMR:
|
MR3661350 |
| DOI:
|
10.14736/kyb-2017-2-0231 |
| . |
| Date available:
|
2017-06-25T17:55:31Z |
| Last updated:
|
2018-01-10 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/146803 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
[4] Erdely, A.: subcopem2D: Bivariate Empirical Copula..R package version 1.2 (2017), URL |
| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| . |
