Copula-based dependence measures

Abstract

Abstract The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 25 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.