The partial copula: Properties and associated dependence measures

Fabian Spanhel and Malte S. Kurz

Statistics & Probability Letters, 2016, vol. 119, issue C, 76-83

Abstract: The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial copula, which is a natural generalization of the partial correlation coefficient, and investigate several of its properties. In addition, properties of some associated partial dependence measures are examined.

Keywords: Partial copula; Conditional copula; Partial correlation; Partial Spearman’s rho; Partial Kendall’s tau (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.07.014

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