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2014 | nr 10(17) | 17--32
Tytuł artykułu

Multivariate Measures of Dependence Based on Copulas

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The paper is devoted to the multivariate measures of dependence. In contrast to the classical approach, where the pairs of variables are studied, we investigate the dependence of more than two variables. We mainly consider the measures based on copulas. These are the multivariable generalizations of the known coefficients of such correlation as Spearman's rho, Kendall's tau, Blomquist's beta and Gini's gamma. We present the definitions, the constructions and the basic properties of such multivariate measures of dependence. The case of large number of dimension, greater than two, presents more complications. We have several different versions of such generalization in this case and the lower bound of the values of such measures of dependence are close to zero. We also study the multivariate tail dependences. The last part of the paper is devoted to the estimation of multivariable versions of Spearman's rho coefficient.(original abstract)
Rocznik
Numer
Strony
17--32
Opis fizyczny
Twórcy
  • Wrocław University of Economics, Poland
Bibliografia
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  • Embrechts P., Kluppelberg C., Mikosch T. (1997). Modelling External Events for Insurance and Finance. Springer. Berlin.
  • Embrechts P., Lindskog F., McNeil A. (2001). Modelling Dependence with Copulas and Applications to Risk Management. ETH Zurich, preprint.
  • Embrechts P., McNeil A., Straumann D. (2002). Correlation and dependency in risk management: properties and pitfalls. In: M.A.H. Dempster (ed.). Risk Management: Value at Risk and Beyond. Cambridge University Press. Cambridge. Pp. 176-223.
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  • Genest C., MacKay R.J. (1986). The joy of copulas: Bivariate distributions with uniform marginals. Am. Stat. 40(4). Pp. 280-285.
  • Joe H. (1990). Multivariate concordance. J. Multivar. Anal. 35(1). Pp. 12-30.
  • Nelsen R.B. (1996). Nonparametric measures of multivariate association. In: Distribution with Fixed Marginals and Related Topics. IMS Lecture Notes - Monograph Series 28. Institite of Mathematical Statistics. Hayward. Pp. 223- 232.
  • Nelsen R.B. (2006). An Introduction to Copulas (2nd edition). Springer. New York.
  • Schmid F., Schmidt R. (2007). Multivariate extensions of Spearman's rho and related statistics. Stat. Probab. Lett. 77(4). Pp. 407-416.
  • Schmid F., Schmidt R., Blumentritt T., Gaißer S., Ruppert M. (2010). Copula- Based Measures of Multivariate Association. In: P. Jaworski, F. Durante, W. Hardle, T. Rychlik (ed.). Copula Theory and Its Applications. 10. Springer. Berlin.
  • Sibuya M. (1960). Bivariate extreme statistics. Ann. Inst. Math. 11(3). Pp. 195- 210.
  • Taylor M.D. (2007). Multivariate measures of concordance. Ann. Inst. Stat. Math. 59(4). Pp. 789-806.
  • Wolff E.F. (1980). N-dimensional measures of dependence. Stochastica 4(3). Pp. 175-188.
Typ dokumentu
Bibliografia
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bwmeta1.element.ekon-element-000171393313

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