Resource title

A copula based differential measure of local correlation

Resource image

image for OpenScout resource :: A copula based differential measure of local correlation

Resource description

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.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/28069/1/hawellek_Submit_your_poster_here__poster_lc.pdf

Resource license