On the copula correlation ratio and its generalization

Jia Han Shih, Takeshi Emura*

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

14 引文 斯高帕斯(Scopus)

摘要

The correlation ratio has been used to measure how much the behavior of one variable can be predicted by the other variable. In this paper, we derive a new expression of the correlation ratio based on copulas. We represent the copula correlation ratio in terms of Spearman's rho of the ∗-product of two copulas. Our expression provides a new way to obtain the copula correlation ratio, which is especially useful when a copula is closed under the ∗-product operation. Moreover, we propose a Kendall's tau copula correlation ratio that has not been considered in the literature. We apply the new expressions to investigate the theoretical properties of the copula correlation ratios, including difference and discontinuity. For multivariate copulas, we propose to define the copula correlation ratio matrices, and show their invariance property.

原文英語
文章編號104708
期刊Journal of Multivariate Analysis
182
DOIs
出版狀態已出版 - 03 2021

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© 2020 Elsevier Inc.

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