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pro vyhledávání: '"Shin, Dong Wan"'
Autor:
Choi, Ji-Eun, Shin, Dong Wan
We propose a new measure related with tail dependence in terms of correlation: quantile correlation coefficient of random variables X, Y. The quantile correlation is defined by the geometric mean of two quantile regression slopes of X on Y and Y on X
Externí odkaz:
http://arxiv.org/abs/1803.06200