Related papers: The W-footrule coefficient: A copula-based measure…
Rank-based dependence measures such as Spearman's footrule are robust and invariant, but they often fail to capture directional or asymmetric dependence in multivariate settings. This paper introduces a new family of directional Spearman's…
Copulas are becoming an essential tool in analyzing data thus encouraging interest in related questions. In the early stage of exploratory data analysis, say, it is helpful to know local copula bounds with a fixed value of a given measure…
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to…
A novel positive dependence property is introduced, called positive measure inducing (PMI for short), being fulfilled by numerous copula classes, including Gaussian, Fr\'echet, Farlie-Gumbel-Morgenstern and Frank copulas; it is conjectured…
Concordance measures are used to express the degree of association between random variables. Practitioners may use several distinct concordance measures to narrow the space of possible dependence structures. Consequently, the relations…
W-transforms are introduced as uniformity-preserving univariate transformations on the unit interval induced by distribution functions and piecewise strictly monotone functions, and their properties are investigated. When applied…
This paper introduces a nonparametric copula-based index for detecting the strength and monotonicity structure of linear and nonlinear statistical dependence between pairs of random variables or stochastic signals. Our index, termed Copula…
Recent research in statistics has focused on dependence measures kappa(Y,X) taking values in [0, 1], where 0 characterizes independence of X and Y, and 1 perfect functional dependence of Y on X. One class of such measures consists of the…
The conformal Fefferman-Graham ambient metric construction is one of the most fundamental constructions in conformal geometry. It embeds a manifold with a conformal structure into a pseudo-Riemannian manifold whose Ricci tensor vanishes up…
The aim of this article is to write the $p$-Wasserstein metric $W_p$ with the $p$-norm, $p\in [1,\infty)$, on $\R^d$ in terms of copula. In particular for the case of one-dimensional distributions, we get that the copula employed to get the…
This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…
The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop…
We introduce a parameter $W(\beta,L)= (\pi\,\langle |m| \rangle^2/\langle m^2 \rangle - 2)/(\pi-2)$ which like the kurtosis (Binder cumulant) is a phenomenological coupling characteristic of the shape of the distribution $p(m)$ of the order…
As the meta-analysis of more than one diagnostic tests can impact clinical decision making and patient health, there is an increasing body of research in models and methods for meta-analysis of studies comparing multiple diagnostic tests.…
The coupling constant of g_phi-pi-gamma decay is calculated in the method of QCD sum rules. A comparison of our prediction on the coupling constant with the result obtained from analysis of the experimental data is performed.
We propose an extension of the univariate Lorenz curve and of the Gini coefficient to the multivariate case, i.e., to simultaneously measure inequality in more than one variable. Our extensions are based on copulas and measure inequality…
A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…
An investigation is presented of how a comprehensive choice of four most important measures of concordance (namely Spearman's rho, Kendall's tau, Spearman's footrule, and Gini's gamma) relate to the fifth one, i.e., the Blomqvist's beta. In…
We introduce new estimates and tests of independence in copula models with unknown margins using $\phi$-divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the…
Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…