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We explore an idea of transferring some classicmeasures of global dependence between random variables Χ1, Χ2, L, Χn into cumulative measures of dependencerelative at any point χ1, χ2, L, χn in the samplespace. It allows studying the behavior of these measures throughout the samplespace, and better understanding and use of dependence. Some examples on popularcopula distributions are also provided.

KEYWORDS

Analysis of Variance; Copula; Correlation; Covariance; Multivariate Analysis; Measures of Dependence; Probability Modeling

Cite this paper

Dimitrov, B. , Esa, S. , Kolev, N. and Pitselis, G. 2014 Transfer of Global Measures of Dependence into Cumulative Local. Applied Mathematics, 5, 615-627. doi: 10.4236-am.2014.54058.





Author: Boyan Dimitrov, Sahib Esa, Nikolai Kolev, Georgios Pitselis

Source: http://www.scirp.org/



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