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Transfer of Global Measures of Dependence into Cumulative Local
Kettering University, Flint, USA
sahib_esa@yahoo.com
University of Sao Paulo, Sao Paulo, Brazil
University of Piraeus, Piraeus, Greece
- 1 Kettering University, Flint, USA
- 2 sahib_esa@yahoo.com
- 3 University of Sao Paulo, Sao Paulo, Brazil
- 4 University of Piraeus, Piraeus, Greece
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Abstract
We explore an idea of transferring some classic measures of global dependence between random variables Χ 1, Χ 2 , L , Χ n into cumulative measures of dependence relative at any point ( χ 1 , χ 2 , L , χ n ) 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.
KeywordsAnalysis of VarianceCopulaCorrelationCovarianceMultivariate AnalysisMeasures of DependenceProbability Modeling
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