Copula-based dependence measures

Liebscher Eckhard
Additional contact information
Liebscher Eckhard: University of Applied Sciences Merseburg, Department of Computer Science and Communication Systems, D-06217 Merseburg, Germany

Dependence Modeling, 2014, vol. 2, issue 1, 16

Abstract: The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained by geometric arguments. We introduce estimators of the dependence coefficients and prove their asymptotic normality.

Keywords: dependence measures; pearman’s ρ; Spearman’s footrule; estimators for dependence measures; 62H20; dependence measures; pearman’s ρ; Spearman’s footrule; estimators for dependence measures; 62H20 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/demo-2014-0004 (text/html)

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:vrs:demode:v:2:y:2014:i:1:p:16:n:4

DOI: 10.2478/demo-2014-0004

Access Statistics for this article

Dependence Modeling is currently edited by Giovanni Puccetti

More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().