Dependence Measuring from Conditional Variances
Abstract: A conditional variance is an indicator of the level of independence between two random variables. We exploit this intuitive relationship and define a measure v which is almost a measure of mutual complete dependence. Unsurprisingly, the measure attains its minimum value for many pairs of non-independent ran- dom variables. Adjusting the measure so as to make it invariant under all Borel measurable injective trans- formations, we obtain a copula-based measure of dependence v* satisfying A. Rényi’s postulates. Finally, we observe that every nontrivial convex combination of v and v* is a measure of mutual complete dependence.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Dependence Measuring from Conditional Variances ; volume:3 ; number:1 ; year:2015 ; extent:15
Dependence modeling ; 3, Heft 1 (2015) (gesamt 15)
- Creator
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Kamnitui, Noppadon
Santiwipanont, Tippawan
Sumetkijakan, Songkiat
- DOI
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10.1515/demo-2015-0007
- URN
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urn:nbn:de:101:1-2411181542484.175105754807
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:32 AM CEST
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Associated
- Kamnitui, Noppadon
- Santiwipanont, Tippawan
- Sumetkijakan, Songkiat
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