Transfer of Global Measures of Dependence into Cumulative Local

Boyan N. Dimitrov; Sahib Esa; Nikolai Kolev; Georgios Pitselis

doi:10.4236/am.2014.54058

Transfer of Global Measures of Dependence into Cumulative Local

Boyan N. Dimitrov, Sahib Esa, Nikolai Kolev, Georgios Pitselis

Kettering University

Research output: Contribution to journal › Article › peer-review

Abstract

We explore an idea of transferring some classic measures of global dependence between random variables X1,X2,…,Xn into cumulative measures of dependence relative at any point (X1,X2,…,Xn) in the sample space. It allows studying the behavior of these measures throughout the sample space, and better understanding and use of dependence. Some examples on popular copula distributions are also provided.

Original language	American English
Journal	Applied Mathematics
Volume	5
DOIs	https://doi.org/10.4236/am.2014.54058
State	Published - Mar 1 2014

Keywords

Analysis of Variance
Copula
Correlation
Covariance
Multivariate Analysis
Measures of Dependence
Probability Modeling

Disciplines

Mathematics

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Cite this

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title = "Transfer of Global Measures of Dependence into Cumulative Local",

abstract = " We explore an idea of transferring some classic measures of global dependence between random variables X1,X2,…,Xn into cumulative measures of dependence relative at any point (X1,X2,…,Xn) in the sample space. It allows studying the behavior of these measures throughout the sample space, and better understanding and use of dependence. Some examples on popular copula distributions are also provided.",

keywords = "Analysis of Variance, Copula, Correlation, Covariance, Multivariate Analysis, Measures of Dependence, Probability Modeling",

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AB - We explore an idea of transferring some classic measures of global dependence between random variables X1,X2,…,Xn into cumulative measures of dependence relative at any point (X1,X2,…,Xn) in the sample space. It allows studying the behavior of these measures throughout the sample space, and better understanding and use of dependence. Some examples on popular copula distributions are also provided.

KW - Analysis of Variance

KW - Copula

KW - Correlation

KW - Covariance

KW - Multivariate Analysis

KW - Measures of Dependence

KW - Probability Modeling

UR - https://digitalcommons.kettering.edu/mathematics_facultypubs/30

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DO - 10.4236/am.2014.54058

M3 - Article

VL - 5

JO - Applied Mathematics

JF - Applied Mathematics

ER -

Transfer of Global Measures of Dependence into Cumulative Local

Abstract

Keywords

Disciplines

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