How to detect linear dependence on the copula level?
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 c...
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th-cmuir.6653943832-11972014-08-29T09:20:18Z How to detect linear dependence on the copula level? Kreinovich V. Nguyen H.T. Sriboonchitta S. 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. 2014-08-29T09:20:17Z 2014-08-29T09:20:17Z 2014 Conference Paper 9783319033945 21945357 10.1007/978-3-319-03395-2_4 103403 http://www.scopus.com/inward/record.url?eid=2-s2.0-84897890526&partnerID=40&md5=307da28f38b4f801594171f67d3ebe14 http://cmuir.cmu.ac.th/handle/6653943832/1197 English |
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Chiang Mai University |
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Chiang Mai University Library |
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Thailand |
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English |
| description |
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. |
| format |
Conference or Workshop Item |
| author |
Kreinovich V. Nguyen H.T. Sriboonchitta S. |
| spellingShingle |
Kreinovich V. Nguyen H.T. Sriboonchitta S. How to detect linear dependence on the copula level? |
| author_facet |
Kreinovich V. Nguyen H.T. Sriboonchitta S. |
| author_sort |
Kreinovich V. |
| title |
How to detect linear dependence on the copula level? |
| title_short |
How to detect linear dependence on the copula level? |
| title_full |
How to detect linear dependence on the copula level? |
| title_fullStr |
How to detect linear dependence on the copula level? |
| title_full_unstemmed |
How to detect linear dependence on the copula level? |
| title_sort |
how to detect linear dependence on the copula level? |
| publishDate |
2014 |
| url |
http://www.scopus.com/inward/record.url?eid=2-s2.0-84897890526&partnerID=40&md5=307da28f38b4f801594171f67d3ebe14 http://cmuir.cmu.ac.th/handle/6653943832/1197 |
| _version_ |
1681419625573646336 |