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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, 26 May 2010, London School of Economics and Political Science, London, UK. (Unpublished)

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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)
Additional Information: © 2010 Daniel Bruynooghe
Library of Congress subject classification: Q Science > QA Mathematics
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Collections > PhD poster exhibition materials 2010
Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 26 May 2010 10:39
URL: http://eprints.lse.ac.uk/28069/

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