Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/1197
Title: How to detect linear dependence on the copula level?
Authors: Kreinovich V.
Nguyen H.T.
Sriboonchitta S.
Issue Date: 2014
Abstract: In many practical situations, the dependence between the quantities is linear or approximately linear. Knowing that the dependence is linear simplifies computations; so, is is desirable to detect linear dependencies. If we know the joint probability distribution, we can detect linear dependence by computing Pearson's correlation coefficient. In practice, we often have a copula instead of a full distribution; in this case, we face a problem of detecting linear dependence based on the copula. Also, distributions are often heavy-tailed, with infinite variances, in which case Pearson's formulas cannot be applied. In this paper, we show how to modify Pearson's formula so that it can be applied to copulas and to heavy-tailed distributions. © Springer International Publishing Switzerland 2014.
URI: http://www.scopus.com/inward/record.url?eid=2-s2.0-84897890526&partnerID=40&md5=307da28f38b4f801594171f67d3ebe14
http://cmuir.cmu.ac.th/handle/6653943832/1197
ISBN: 9783319033945
ISSN: 21945357
Appears in Collections:ECON: Journal Articles

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