Directional dependence of random vectors

被引：5

作者：

Juan Quesada-Molina, Jose ^{[2
]}

Ubeda-Flores, Manuel ^{[1
]}

机构：

[1] Univ Almeria, Dept Estadist & Matemat Aplicada, Almeria 04120, Spain

[2] Univ Granada, Dept Matemat Aplicada, E-18071 Granada, Spain

来源：

INFORMATION SCIENCES | 2012年 / 215卷

关键词：

Association; Copula; Dependence; Measure of association; Mutual uncorrelation; RANDOM-VARIABLES; ASSOCIATION; COPULAS; INDEPENDENCE;

D O I：

10.1016/j.ins.2012.05.019

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper we define and study several properties of the concept of (multivariate) directional dependence and study the new concept in terms of copulas, and provide new measures of multivariate association based on directional dependence. Finally, we show the relationships of directional dependence with other dependence concepts such as association and conditional dependence. (c) 2012 Elsevier Inc. All rights reserved.

引用

页码：67 / 74

页数：8

共 28 条

[1] Copula and s-map on a quantum logic [J].

Al-Adilee, Ahmed M. ;

Nanasiova, Olga .

INFORMATION SCIENCES, 2009, 179 (24) :4199-4207

[2]

[Anonymous], 1997, MULTIVARIATE MODELS

[3]

[Anonymous], 2006, An introduction to copulas

[4]

[Anonymous], 1972, Distributions in Statistics: Continuous Multivariate Distributions

[5]

[Anonymous], 1959, ANN LISUP

[6] Multivariate copulas with quadratic sections in one variable [J].

Antonio Rodriguez-Lallena, Jose ;

Uebeda-Flores, Manuel .

METRIKA, 2010, 72 (03) :331-349

[7] SOME CONCEPTS OF MULTIVARIATE DEPENDENCE [J].

BLOCK, HW ;

TING, MI .

COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS, 1981, 10 (08) :749-762

[8] SOME CONCEPTS OF NEGATIVE DEPENDENCE [J].

BLOCK, HW ;

SAVITS, TH ;

SHAKED, M .

ANNALS OF PROBABILITY, 1982, 10 (03) :765-772

[9] Some notions of multivariate positive dependence [J].

Colangelo, A ;

Scarsini, M ;

Shaked, M .

INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (01) :13-26

[10]

DAWID AP, 1979, J ROY STAT SOC B MET, V41, P1

← 1 2 3 →