Ordinal pattern dependence and multivariate measures of dependence

Angelika Silbernagel and Alexander Schnurr

Journal of Multivariate Analysis, 2024, vol. 203, issue C

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. (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 by Betken et al. (2021). Furthermore, we show that ordinal pattern dependence satisfies a slightly modified set of axioms.

Keywords: Dependence measures; Ordinal patterns; Time series (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2024.105337

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