I Chapter 10 Copula - Based Measures of Multivariate Association
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چکیده
This chapter constitutes a survey on copula-based measures of multivari ate association i.e. association in a d-dimensional random vector X = (XI1""Xd) where d ~ 2. Some of the measures discussed are multivariate extensions of well known bivariate measures such as Spearman's rho, Kendall's tau, Blomqvist's beta or Gini's gamma. Others rely on information theory or are based on Lp-distances of copulas. Various measures of multivariate tai! dependence are derived by extend ing the coefficient of bivariate tai! dependence. Nonparametric estimation of these measures based on the empirical copula is further addressed. 10.
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تاریخ انتشار 2010