| Full text | |
| Author(s): |
Total Authors: 3
|
| Affiliation: | [1] Univ Estadual Campinas, Dept Stat, BR-13083859 Sao Paulo - Brazil
[2] Lewis & Clark Coll, Dept Math Sci, Portland, OR 97219 - USA
Total Affiliations: 2
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| Document type: | Journal article |
| Source: | JOURNAL OF MULTIVARIATE ANALYSIS; v. 115, p. 481-495, MAR 2013. |
| Web of Science Citations: | 6 |
| Abstract | |
We introduce a new index to detect dependence in trivariate distributions. The index is based on the maximization of the coefficients of directional dependence over the set of directions. We show how to calculate the index using the three pairwise Spearman's rho coefficients and the three common 3-dimensional versions of Spearman's rho. We obtain the asymptotic distributions of the empirical processes related to the estimators of the coefficients of directional dependence and also we derive the asymptotic distribution of our index. We display examples where the index identifies dependence undetected by the aforementioned 3-dimensional versions of Spearman's rho. The value of the new index and the direction in which the maximal dependence occurs are easily computed and we illustrate with a simulation study and a real data set. (C) 2012 Elsevier Inc. All'rights reserved. (AU) | |
| FAPESP's process: | 10/51940-5 - Roger Bian Nelsen | Lewis Clark College - United States |
| Grantee: | Nikolai Valtchev Kolev |
| Support Opportunities: | Research Grants - Visiting Researcher Grant - International |