A Family of Quantile Dependence Coefficients
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866910322828247040 |
|---|---|
| author | Dastbaravarde, A. Dolati, A. |
| author_facet | Dastbaravarde, A. Dolati, A. |
| contents | A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile dependence, which generalizes the notion of tail dependence and could be used to detect dependence in specific regions of the domain of a joint distribution function. Properties of the proposed quantile dependence coefficient are studied and several examples illustrate our results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_05665 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Family of Quantile Dependence Coefficients Dastbaravarde, A. Dolati, A. Statistics Theory 62H05, 62H20 A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile dependence, which generalizes the notion of tail dependence and could be used to detect dependence in specific regions of the domain of a joint distribution function. Properties of the proposed quantile dependence coefficient are studied and several examples illustrate our results. |
| title | A Family of Quantile Dependence Coefficients |
| topic | Statistics Theory 62H05, 62H20 |
| url | https://arxiv.org/abs/2402.05665 |