Library Header Image
LSE Research Online LSE Library Services

A copula based differential measure of local correlation

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. (Submitted)

Download (330kB) | Preview


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)
Additional Information: © 2010 Daniel Bruynooghe
Divisions: Centre for Analysis of Time Series
Subjects: Q Science > QA Mathematics
Date Deposited: 26 May 2010 10:39
Last Modified: 14 Oct 2021 23:13

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics