Abstract #301351

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JSM 2003 Abstract #301351
Activity Number: 295
Type: Contributed
Date/Time: Tuesday, August 5, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #301351
Title: Multidimensional Dependency Measures and Applications
Author(s): Jose M. Gonzalez-Barrios*+ and Silvia M. Ruiz-Velasco
Companies: IIMAS, UNAM and IIMAS, UNAM
Address: Apdo Postal 20-726, Mexico D.F., , 01000, Mexico
Keywords: dependency measures ; copulas ; regression analysis ; time series analysis ; principal component analysis
Abstract:

In this work we analyze in detail a multidimensional dependency measure based on the difference of the joint distribution function and the product of the marginal distribution functions. We found its general properties, as well as a sample version whose distribution only depends on the sample size and the dimension of the data, but not on the the distribution of the random vectors, at least under continuity. We give interesting applications in time series analysis, principal component analysis, and regression analysis.

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