Validation of association
From MaRDI portal
Publication:2306090
DOI10.1016/j.insmatheco.2019.12.003zbMath1435.91145OpenAlexW3000484938WikidataQ126402140 ScholiaQ126402140MaRDI QIDQ2306090
Publication date: 20 March 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.12.003
copulameasure of dependenceindependence testingweighted statisticscross-quantilogramquantile dependence function
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Detecting Novel Associations in Large Data Sets
- On quantifying dependence: a framework for developing interpretable measures
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- The quantilogram: with an application to evaluating directional predictability
- Large sample behavior of the Bernstein copula estimator
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Weak convergence of the empirical copula process with respect to weighted metrics
- The empirical beta copula
- Local Gaussian correlation: a new measure of dependence
- Correlation order, merging and diversification
- Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Bivariate extreme statistics. I
- An introduction to copulas.
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- Bivariate extreme-value copulas with discrete Pickands dependence measure
- Brownian distance covariance
- On nonparametric measures of dependence for random variables
- Stop-loss premiums under dependence
- How to (and how not to) compute stop-loss premiums in practice
- On the dependency of risks in the individual life model
- An empirical study of the maximal and total information coefficients and leading measures of dependence
- Large-scale kernel methods for independence testing
- Weak convergence of the weighted empirical beta copula process
- Weak convergence of empirical copula processes
- A note on testing independence by a copula-based order selection approach
- A new test of independence for bivariate observations
- On quadratic functionals of the Brownian sheet and related processes
- Validation of positive quadrant dependence
- Visualizing Association Structure in Bivariate Copulas Using New Dependence Function
- Two-Sample Test Against One-Sided Alternatives
- Measuring dependence powerfully and equitably
- The t Copula and Related Copulas
- Chi-plots for assessing dependence
- Dependence function for continuous bivariate densities
- Data-Driven Rank Tests for Independence
- Multi-Panel Kendall plot in light of an ROC curve analysis applied to measuring dependence
- Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- A measure of general functional dependence between two continuous variables
- Detecting Dependence With Kendall Plots
- Generalized R-squared for detecting dependence
- A consistent multivariate test of association based on ranks of distances
- A Simple Density-Based Empirical Likelihood Ratio Test for Independence
- Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics