N-dimensional measures of dependence.
Wolff, Edward F.
Stochastica, Tome 4 (1980), p. 175-188 / Harvested from Biblioteca Digital de Matemáticas
Access to full text

In recent joint papers with B. Schweizer, we used the notion of a copula to introduce a family of symmetric, nonparametric measures of dependence of two random variables. Here, we present n-dimensional extensions of these measures and of Spearman's ro. We study them vis-a-vis appropriate higher dimensional analogues of Rényi's axioms for measures of dependence, determine relations among them, and in some cases establish reduction formulae for their computation.

Publié le : 1980-01-01
DMLE-ID : 1618 
@article{urn:eudml:doc:38838,
     title = {N-dimensional measures of dependence.},
     journal = {Stochastica},
     volume = {4},
     year = {1980},
     pages = {175-188},
     zbl = {0482.62048},
     mrnumber = {MR0611502},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:38838}
}

Wolff, Edward F. N-dimensional measures of dependence.. Stochastica, Tome 4 (1980) pp. 175-188. http://gdmltest.u-ga.fr/item/urn:eudml:doc:38838/