Ordinal pattern dependence and multivariate measures of dependence
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909211947958272 |
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| author | Silbernagel, Angelika Schnurr, Alexander |
| author_facet | Silbernagel, Angelika Schnurr, Alexander |
| contents | Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (Journal of Multivariate Analysis 123, 2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article Betken et al. (Journal of Multivariate Analysis 186, 2021). Furthermore we show that ordinal pattern dependence satisfies a slightly modified set of axioms. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2401_13007 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Ordinal pattern dependence and multivariate measures of dependence Silbernagel, Angelika Schnurr, Alexander Statistics Theory Probability 62M10 (Primary), 62H12 (Secondary) Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (Journal of Multivariate Analysis 123, 2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article Betken et al. (Journal of Multivariate Analysis 186, 2021). Furthermore we show that ordinal pattern dependence satisfies a slightly modified set of axioms. |
| title | Ordinal pattern dependence and multivariate measures of dependence |
| topic | Statistics Theory Probability 62M10 (Primary), 62H12 (Secondary) |
| url | https://arxiv.org/abs/2401.13007 |