Measure of association is a broad term that denotes the class of all the measures that have been constructed with the aim of quantifying specific relationships between two or more variables. Measures of association based on copulas are invariant with respect to the univariate marginal distributions. These measures are able to capture positive as well as negative association and they do not alter the value in case of strictly increasing transformations of the variables.
Copula-Based Measures of Association
Marta Nai Ruscone
2020-01-01
Abstract
Measure of association is a broad term that denotes the class of all the measures that have been constructed with the aim of quantifying specific relationships between two or more variables. Measures of association based on copulas are invariant with respect to the univariate marginal distributions. These measures are able to capture positive as well as negative association and they do not alter the value in case of strictly increasing transformations of the variables.
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