2014/05/09 by Teresa Ledwina, Ledwina, Teresa · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Probability and Risk Models #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.1405.2200
openalex publication_date 2014/05/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Measuring a strength of dependence of random variables is an important problem in statistical practice. In this paper, we propose a new function valued measure of dependence of two random variables. It allows one to study and visualize explicit dependence structure, both in some theoretical models and empirically, without prior model structure. This provides a comprehensive view of association structure and makes possible much detailed inference than based on standard numeric measures of association. We present theoretical properties of the new measure of dependence and discuss in detail estimation and application of copula-based variant of it. Some artificial and real data examples illustrate the behavior and practical utility of the measure and its estimator.