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arxiv: 1410.7845 · v1 · pith:LVLAQLWSnew · submitted 2014-10-29 · 💱 q-fin.RM · math.ST· stat.TH

A new multivariate dependence measure based on comonotonicity

classification 💱 q-fin.RM math.STstat.TH
keywords measuredependencemultivariatecomonotonicityalyzedappliedastinbulletin
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In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and relations between the new dependence measure and other multivariate measures are an- alyzed. We also give several characteristics of this measure and estimations based on the definitions and its property are presented.

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