TITLE:
Transfer of Global Measures of Dependence into Cumulative Local
AUTHORS:
Boyan Dimitrov, Sahib Esa, Nikolai Kolev, Georgios Pitselis
KEYWORDS:
Analysis of Variance; Copula; Correlation; Covariance; Multivariate Analysis; Measures of Dependence; Probability Modeling
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.4,
March
10,
2014
ABSTRACT: We explore an idea of transferring some classic
measures of global dependence between random variables Χ1, Χ2, L, Χn into cumulative measures of dependence
relative at any point(χ1, χ2, L, χn)in the sample
space. It allows studying the behavior of these measures throughout the sample
space, and better understanding and use of dependence. Some examples on popular
copula distributions are also provided.