Partial and average copulas and association measures

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10314709" target="_blank" >RIV/00216208:11320/15:10314709 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1214/15-EJS1077" target="_blank" >http://dx.doi.org/10.1214/15-EJS1077</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1214/15-EJS1077" target="_blank" >10.1214/15-EJS1077</a>

Result language

angličtina

Original language name

Partial and average copulas and association measures

Original language description

For a pair (Y-1, Y-2) of random variables there exist several measures of association that characterize the dependence between Y1 and Y2 by means of one single value. Classical examples are Pearson's correlation coefficient, Kendall's tau and Spearman'srho. For the situation where next to the pair (Y-1, Y-2) there is also a third variable X present, so-called partial association measures, such as a partial Pearson's correlation coefficient and a partial Kendall's tau, have been proposed in the 1940' s.Following criticism on e. g. partial Kendall's tau, better alternatives to these original partial association measures appeared in the literature: the conditional association measures, e. g. conditional Kendall's tau, and conditional Spearman's rho. Both, unconditional and conditional association measures can be expressed in terms of copulas. Even in case the dependence structure between Y1 and Y2 is influenced by a third variable X, we still want to be able to summarize the level of de

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

—

Project

<a href="/en/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Using copulas for modelling dependency structure of variables in the presence of covariates</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Electronic Journal of Statistics

ISSN

1935-7524

e-ISSN

—

Volume of the periodical

9

Issue of the periodical within the volume

2

Country of publishing house

US - UNITED STATES

Number of pages

55

Pages from-to

2420-2474

UT code for WoS article

000366270900032

EID of the result in the Scopus database

2-s2.0-84947927386