A true measure of dependence

Hui Li

MPRA Paper from University Library of Munich, Germany

Abstract: The strength of dependence between random variables is an important property that is useful in a lot of areas. Various measures have been proposed which detect mostly divergence from independence. However, a true measure of dependence should also be able to characterize complete dependence where one variable is a function of the other. Previous measures are mostly symmetric which are shown to be insufficient to capture complete dependence. A new type of nonsymmetric dependence measure is presented that can unambiguously identify both independence and complete dependence. The original Rényi’s axioms for symmetric measures are reviewed and modified for nonsymmetric measures.

Keywords: Nonsymmetric dependence measure; complete dependence; ∗ product on copula; Data Processing Inequality (DPI) (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Date: 2016-02-26
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/69735/1/MPRA_paper_69735.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:69735

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().