Measuring Association between Random Vectors

Details Measuring Association between Random Vectors Measuring Association between Random Vectors

2011-07-21

arxiv.org/abs/1107.4381v1

Statistics

Methodology

28 pages, 2 figures

Scientific paper

This paper suggests five measures of association between two random vectors X = (X_1, ..., X_p) and Y = (Y_1, ..., Y_q). They are copula based and therefore invariant with respect to the marginal distributions of the components X_i and Y_j. The measures capture positive as well as negative association of X and Y. In case p = q = 1 they reduce to Spearman's rho. Various properties of these new measures are investigated. Nonparametric estimators, based on ranks, for the measures are derived and their small sample behaviour is investigated by simulation. The measures are applied to characterise strength and direction of association of bond and stock indices of five countries over time.

Affiliated with

Also associated with

No associations

Rating

Measuring Association between Random Vectors does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Measuring Association between Random Vectors, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Measuring Association between Random Vectors will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-675679