Bruynooghe, Daniel (2010) A copula based differential measure of local correlation. In: Relating research to reality: interdisciplinary ideas for a changing world. LSE PhD student poster exhibition, 2010-05-26, London School of Economics and Political Science, London, United Kingdom, GBR. (Submitted)
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Abstract
A copula based measure of local correlation is developed for two random variables X and Y . The measure is originally motivated through the limiting process of a sequence of correlations in shrinking local neighbourhoods around (x, y). It is shown that this method is better applied in ‘copula space’ to the transformed variables FX(x), FY (y) in a sense of capturing the independence case properly. Upon transforming back via the inverse marginal CDFs, we arrive at a novel measure of local correlation. We illustrate its geometry for the bivariate Gaussian case. Finally, a non-parametric estimator is presented and its asymptotic distribution identified.
| Item Type: | Conference or Workshop Item (Poster) |
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| Additional Information: | © 2010 Daniel Bruynooghe |
| Divisions: | Centre for Analysis of Time Series Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 26 May 2010 10:39 |
| Last Modified: | 13 Sep 2024 14:07 |
| URI: | http://eprints.lse.ac.uk/id/eprint/28069 |
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