Geodesic
A subcopula based dependence measure
Kybernetika, Tome 53 (2017) no. 2, pp. 231-243.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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.
DOI : 10.14736/kyb-2017-2-0231
Classification : 62H20
Keywords: subcopula; dependence; concordance 
@article{10_14736_kyb_2017_2_0231,
     author = {Erdely, Arturo},
     title = {A subcopula based dependence measure},
     journal = {Kybernetika},
     pages = {231--243},
     publisher = {mathdoc},
     volume = {53},
     number = {2},
     year = {2017},
     doi = {10.14736/kyb-2017-2-0231},
     mrnumber = {3661350},
     zbl = {06770166},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2017-2-0231/}
}
TY  - JOUR
AU  - Erdely, Arturo
TI  - A subcopula based dependence measure
JO  - Kybernetika
PY  - 2017
SP  - 231
EP  - 243
VL  - 53
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2017-2-0231/
DO  - 10.14736/kyb-2017-2-0231
LA  - en
ID  - 10_14736_kyb_2017_2_0231
ER  - 
%0 Journal Article
%A Erdely, Arturo
%T A subcopula based dependence measure
%J Kybernetika
%D 2017
%P 231-243
%V 53
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2017-2-0231/
%R 10.14736/kyb-2017-2-0231
%G en
%F 10_14736_kyb_2017_2_0231
Erdely, Arturo. A subcopula based dependence measure. Kybernetika, Tome 53 (2017) no. 2, pp. 231-243. doi : 10.14736/kyb-2017-2-0231. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2017-2-0231/

Cité par Sources :