English

Ordinal pattern dependence and multivariate measures of dependence

Statistics Theory 2024-05-29 v2 Probability Statistics Theory

Abstract

Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (Journal of Multivariate Analysis 123, 2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article Betken et al. (Journal of Multivariate Analysis 186, 2021). Furthermore we show that ordinal pattern dependence satisfies a slightly modified set of axioms.

Keywords

Cite

@article{arxiv.2401.13007,
  title  = {Ordinal pattern dependence and multivariate measures of dependence},
  author = {Angelika Silbernagel and Alexander Schnurr},
  journal= {arXiv preprint arXiv:2401.13007},
  year   = {2024}
}

Comments

12 pages, 4 figures

R2 v1 2026-06-28T14:25:07.633Z