Shuffles of copulas and a new measure of dependence

Details Shuffles of copulas and a new measure of dependence Shuffles of copulas and a new measure of dependence

2012-04-02

arxiv.org/abs/1204.0405v1

Mathematics

Statistics Theory

28 pages, 2 figures

Scientific paper

Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles of Min. This result is then used to obtain a characterization of generalized shuffles of copulas introduced by Durante, Sarkoci and Sempi in terms of MCD copulas and the $\star$-product discovered by Darsow, Nguyen and Olsen. Since shuffles of a copula is the copula of the corresponding shuffles of the two continuous random variables, we define a new norm which is invariant under shuffling. This norm gives rise to a new measure of dependence which shares many properties with the maximal correlation coefficient, the only measure of dependence that satisfies all of R\'enyi's postulates.

Affiliated with

Also associated with

No associations

Rating

Shuffles of copulas and a new measure of dependence 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 Shuffles of copulas and a new measure of dependence, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Shuffles of copulas and a new measure of dependence will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-509742