Ordinal pattern dependence and multivariate measures of dependence

Autor:	Silbernagel, Angelika, Schnurr, Alexander
Rok vydání:	2024
Předmět:	Mathematics - Statistics Theory Mathematics - Probability 62M10 (Primary) 62H12 (Secondary)
Druh dokumentu:	Working Paper
Popis:	Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (Journal of Multivariate Analysis 123, 2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article Betken et al. (Journal of Multivariate Analysis 186, 2021). Furthermore we show that ordinal pattern dependence satisfies a slightly modified set of axioms. Comment: 12 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2401.13007 Zobrazit plný text záznamu View this record from Arxiv