Results 11 to 20 of about 9,392,573 (389)
A subcopula based dependence measure [PDF]
Kybernetika, 2017 summary:A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure.
Erdely, Arturo
core +6 more sources
A simple measure of conditional dependence [PDF]
The Annals of Statistics, 2021 41 pages, 2 tables. Final version. To appear in Ann. Statist.
Mona Azadkia, Sourav Chatterjee
semanticscholar +6 more sources
Two Measures of Dependence [PDF]
Entropy, 2019 Two families of dependence measures between random variables are introduced. They are based on the Rényi divergence of order α and the relative
Amos Lapidoth, Christoph Pfister
doaj +6 more sources
Ordinal pattern dependence as a multivariate dependence measure [PDF]
Journal of Multivariate Analysis, 2021 In this article, we show that the recently introduced ordinal pattern dependence fits into the axiomatic framework of general multivariate dependence measures, i.e., measures of dependence between two multivariate random objects. Furthermore, we consider multivariate generalizations of established univariate dependence measures like Kendall's $τ ...
Annika Betken +3 more
openaire +6 more sources
Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach
Journal of Applied Mathematics, 2020 A Value-at-Risk (VaR) forecast may be calculated for the case of a random loss alone and/or of a random loss that depends on another random loss. In both cases, the VaR forecast is obtained by employing its (conditional) probability distribution of loss ...
Khreshna Syuhada +2 more
doaj +2 more sources
Model Selection Based on Residual Dependence Measure
IEEE Access, 2023 Choosing the most suitable model from a set of models is crucial. Based on the assumption that the noise and independent variables in the model are independent, the degree of fit of the model was determined by studying the correlation between the ...
Linfeng Lyu, Yiming Ding, Yuan Wan
doaj +2 more sources
Dependence measure for length-biased survival data using copulas
Dependence Modeling, 2019 The linear correlation coefficient of Bravais-Pearson is considered a powerful indicator when the dependency relationship is linear and the error variate is normally distributed.
Bentoumi Rachid +2 more
doaj +3 more sources
Continuous dependence results for set-valued measure differential problems [PDF]
Electronic Journal of Qualitative Theory of Differential Equations, 2015 We discuss existence and continuous dependence properties of solutions set of measure differential inclusions \begin{equation}\label{(1)} \begin{split} dx(t)& \in G(t, x(t)) d\mu(t),\\ x(0)& = x_0. \end{split} \end{equation} where $G \colon [0,1] \times \
Bianca Satco
doaj +2 more sources
Tail Dependence Measure for Examining Financial Extreme Co-movements [PDF]
, 2016 Modeling and forecasting extreme co-movements in financial market is important for conducting stress test in risk management. Asymptotic independence and asymptotic dependence behave drastically different in modeling such co-movements.
Gerrard, R. J. G. +3 more
core +2 more sources
A multivariate dependence measure for aggregating risks
Journal of Computational and Applied Mathematics, 2013 To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables.
Wim Schoutens +8 more
core +2 more sources