On a multivariate copula-based dependence measure and its estimation-Reference-Cited by-同舟云学术

On a multivariate copula-based dependence measure and its estimation

Published:2022-01-01 Issue:1 Volume:16 Page:
ISSN:1935-7524
Container-title:Electronic Journal of Statistics
language:
Short-container-title:Electron. J. Statist.

Author:

Griessenberger Florian¹,Junker Robert R.²,Trutschnig Wolfgang¹

Affiliation:

1. Department of Mathematics, University of Salzburg, 5020 Salzburg, Austria

2. Department of Biosciences, University of Salzburg, 5020 Salzburg, Austria

Publisher

Institute of Mathematical Statistics

Subject

Statistics and Probability,Statistics, Probability and Uncertainty

Reference48 articles.

1. Dette, H., Siburg, K. F. and Stoimenov, P. A. (2013). A copula-based non-parametric measure of regression dependence. Scand. J. Stat. 40 21–41.

2. Székely, G. J. and Rizzo, M. L. (2009). Brownian distance covariance. Ann. Appl. Stat. 3 1236–1265.

3. Székely, G. J., Rizzo, M. L. and Bakirov, N. K. (2007). Measuring and testing dependence by correlation of distances. Ann. Statist. 35 2769–2794.

4. Reshef, D. N., Reshef, Y. A., Finucane, H. K., Grossman, S. R., McVean, G., Turnbaugh, P. J., Lander, E. S., Mitzenmacher, M. and Sabeti, P. C. (2011). Detecting novel associations in large data sets. Science 334 1518–1524.

5. RÜSCHENDORF, L. (2009). On the distributional transform, Sklar’s theorem, and the empirical copula process. J. Statist. Plann. Inference 139 3921–3927.

Cited by 18 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Interpretable machine learning models for ESG stock prices under transition and physical climate risk;Annals of Operations Research;2024-09-02

2. Exact detection thresholds and minimax optimality of Chatterjee’s correlation coefficient;Bernoulli;2024-05-01

3. Rearranged dependence measures;Bernoulli;2024-05-01

4. Investigating the Joint Probability of High Coastal Sea Level and High Precipitation;Journal of Marine Science and Engineering;2024-03-21

5. On the failure of the bootstrap for Chatterjee’s rank correlation;Biometrika;2024-02-04