1. A subcopula based dependence measure
- Creator:
- Erdely, Arturo
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- subcopula, dependence, and concordance
- Language:
- English
- Description:
- 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.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public