Descriptive measures of multivariate scatter and linear dependence
نویسندگان
چکیده
منابع مشابه
Multivariate measures of positive dependence
The concept of dependency in a bivariate and in a multivariate setting has been largely studied in recent literature and the development of the theory of copulas has determined a great impact in the study of measures of dependence. This is of interest in economics, insurance, in finance and risk management and in many areas of applied probability and statistics. Several notions of positive depe...
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Recent statistical analysis of a number of financial databases is summarized. Increasing agreement is found that logarithmic equity returns show a certain type of asymptotic behaviour of the largest events, namely that the probability density functions have power law tails with an exponent α ≈ 3.0. This behaviour does not vary much over different stock exchanges or over time, despite large vari...
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An appealing way of working with probability distributions, especially in nonparametric inference, is through “descriptive measures” that characterize features of particular interest. One attractive approach is to base the measures on quantiles. Here we consider the multivariate context and utilize the “spatial quantiles”, a recent vector extension of univariate quantiles that is becoming incre...
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چکیده ندارد.
15 صفحه اولNew Multivariate Dependence Measures and Applications to Neural Ensembles
We develop two new multivariate statistical dependence measures. The first, based on the Kullback-Leibler distance, results in a single value that indicates the general level of dependence among the random variables. The second, based on an orthonormal series expansion of joint probability density functions, provides more detail about the nature of the dependence. We apply these dependence meas...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2003
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(02)00061-1