We explore an idea of transferring some classic measures of global dependence between random variables X1,X2,…,Xn into cumulative measures of dependence relative at any point (X1,X2,…,Xn) in the sample space. It allows studying the behavior of these measures throughout the sample space, and better understanding and use of dependence. Some examples on popular copula distributions are also provided.
ISSN Print: 2152-7385 ISSN Online: 2152-739
© 2014 by authors and Scientific Research Publishing Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/
Dimitrov, Boyan N.; Esa, Sahib; Kolev, Nikolai; and Pitselis, Georgios, "Transfer of Global Measures of Dependence into Cumulative Local" (2014). Mathematics Publications. 30.