1.

Record Nr.

UNINA9910782123203321

Autore

Mari Dominique Drouet

Titolo

Correlation and dependence [[electronic resource] /] / Dominique Drouet Mari, Samuel Kotz

Pubbl/distr/stampa

London, : Imperial College Press

River Edge, NJ, : Distributed by World Scientific Pub. Co., c2001

ISBN

1-281-86948-1

9786611869489

1-86094-975-4

Descrizione fisica

1 online resource (236 p.)

Altri autori (Persone)

KotzSamuel

Disciplina

519.2

Soggetti

Correlation (Statistics)

Dependence (Statistics)

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references (p. 203-215) and index.

Nota di contenuto

Contents               ; Preface              ; Chapter 1 Notations and Definitions                                          ; 1.1 Notations                    ; 1.2 Definitions                      ; Chapter 2 Correlation and Dependence : An Introspection                                                              ; 2.1 Independence                       ; 2.2 Zero Correlation Versus Dependence                                             ; 2.3 Some Geometrical Examples                                    ; 2.4 Some Further Historical Remarks

2.5 A Brief Tour of Early Applications and Misinterpretations                                                                    Chapter 3 Concepts of Dependence and Stochastic Ordering                                                               ; 3.1 Introduction                       ; 3.2 Concepts of Positive Dependence                                          ; 3.3 Negative Dependence for More than Two Variables                                                          ; 3.4 Setwise Dependence                             ; 3.5 Other Approaches

3.6 Positive Dependence Orderings                                        3.7 Bayesian Approach to Stochastic Dependence                                                     ; Chapter 4 Copulas                        ; 4.1 Introduction                       ; 4.2 Definition and Some Properties                                         ; 4.3 The Frechet Bounds                             ; 4.4 Examples                   ; 4.5 Construction of a Copula                                   ; 4.6 Archimedean Copulas                              ; 4.7 Archimax Copulas


4.8 Copulas with Discontinuity Constraints                                                 4.9 Copulas with More than Two Variables                                               ; 4.10 Simulation Procedures                                 ; Chapter 5 Farlie-Gumbel-Morgenstern Models of Dependence                                                               ; 5.1 Introduction                       ; 5.2 Initial Definition                             ; 5.3 Regression and Correlation                                     ; 5.4 Iterations

5.5 Dependence Properties                                5.6 A Class of n-variate FGM Distributions                                                 ; 5.7 Further Extensions                             ; 5.8 FGM Sequences                        ; Chapter 6 Global Versus Local Dependence between Random Variables                                                                        ; 6.1 Introduction                       ; 6.2 Global Measures of Dependence                                        ; 6.3 Local Indices of Dependence

6.4 Non-parametric Estimation of Local Indices

Sommario/riassunto

The concept of dependence permeates the Earth and its inhabitants in a most profound manner. Examples of interdependent meteorological phenomena in nature and interdependence in the medical, social, and political aspects of our existence, not to mention the economic structures, are too numerous to be cited individually. Moreover, the dependence is obviously not deterministic but of a stochastic nature. However, it seems that none of the departments of statistics, engineering, economics and mathematics in the academic institutions throughout the world offer courses dealing with <i>dependence c