A measure of multivariate mutual complete dependence

The authors propose a multivariate version of Siburg and Stoimenov's measure of mutual complete dependence. This multivariate version is, however, not the distance between a copula and the product copula C I under the modified Sobolev norm since the set of mutual complete dependence copulas do...

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Main Authors:	Santi Tasena, Sompong Dhompongsa
Format:	Journal
Published:	2018
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877830922&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/47755
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Institution:	Chiang Mai University

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spelling	th-cmuir.6653943832-477552018-04-25T08:43:37Z A measure of multivariate mutual complete dependence Santi Tasena Sompong Dhompongsa The authors propose a multivariate version of Siburg and Stoimenov's measure of mutual complete dependence. This multivariate version is, however, not the distance between a copula and the product copula C I under the modified Sobolev norm since the set of mutual complete dependence copulas does not lie on the sphere centered at C I . To overcome this difficulty, the authors choose another center and define measures of complete dependence based on the modified Sobolev norm and this center. The measure of multivariate mutual complete dependence is then defined as the summation of the (normalized) measures of complete dependence. © 2012 Elsevier Inc. All rights reserved. 2018-04-25T08:43:37Z 2018-04-25T08:43:37Z 2013-08-01 Journal 0888613X 2-s2.0-84877830922 10.1016/j.ijar.2013.01.001 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877830922&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/47755
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	The authors propose a multivariate version of Siburg and Stoimenov's measure of mutual complete dependence. This multivariate version is, however, not the distance between a copula and the product copula C I under the modified Sobolev norm since the set of mutual complete dependence copulas does not lie on the sphere centered at C I . To overcome this difficulty, the authors choose another center and define measures of complete dependence based on the modified Sobolev norm and this center. The measure of multivariate mutual complete dependence is then defined as the summation of the (normalized) measures of complete dependence. © 2012 Elsevier Inc. All rights reserved.
format	Journal
author	Santi Tasena Sompong Dhompongsa
spellingShingle	Santi Tasena Sompong Dhompongsa A measure of multivariate mutual complete dependence
author_facet	Santi Tasena Sompong Dhompongsa
author_sort	Santi Tasena
title	A measure of multivariate mutual complete dependence
title_short	A measure of multivariate mutual complete dependence
title_full	A measure of multivariate mutual complete dependence
title_fullStr	A measure of multivariate mutual complete dependence
title_full_unstemmed	A measure of multivariate mutual complete dependence
title_sort	measure of multivariate mutual complete dependence
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877830922&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/47755
_version_	1681423121413832704

A measure of multivariate mutual complete dependence

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