Partial and average copulas and association measures

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Partial and average copulas and association measures

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Partial and average copulas and association measures

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

—

Projekt

<a href="/cs/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Modelování závislosti veličin pomocí kopulí za přítomnosti kovariát</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Electronic Journal of Statistics

ISSN

1935-7524

e-ISSN

—

Svazek periodika

9

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

55

Strana od-do

2420-2474

Kód UT WoS článku

000366270900032

EID výsledku v databázi Scopus

2-s2.0-84947927386