A subcopula based dependence measure
Statistics Theory
2017-02-07 v3 Statistics Theory
Abstract
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.
Cite
@article{arxiv.1610.00780,
title = {A subcopula based dependence measure},
author = {Arturo Erdely},
journal= {arXiv preprint arXiv:1610.00780},
year = {2017}
}
Comments
11 pages, 1 figure