Journal of Multivariate Analysis
Block length selection in the bootstrap for time series
Computational Statistics & Data Analysis
Multidimensional dependency measures
Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
Multivariate conditional versions of Spearman's rho and related measures of tail dependence
Journal of Multivariate Analysis
A review of copula models for economic time series
Journal of Multivariate Analysis
A new index to measure positive dependence in trivariate distributions
Journal of Multivariate Analysis
Journal of Multivariate Analysis
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A multivariate measure of association is proposed, which extends the bivariate copula-based measure Phi-Square introduced by Hoeffding [22]. We discuss its analytical properties and calculate its explicit value for some copulas of simple form; a simulation procedure to approximate its value is provided otherwise. A nonparametric estimator for multivariate Phi-Square is derived and its asymptotic behavior is established based on the weak convergence of the empirical copula process both in the case of independent observations and dependent observations from strictly stationary strong mixing sequences. The asymptotic variance of the estimator can be estimated by means of nonparametric bootstrap methods. For illustration, the theoretical results are applied to financial asset return data.