Comparisons on Measures of Asymmetric Associations

• Activity Number: 510 - Recent Development in the Assessment and Modeling of Asymmetric Dependence
• Type: Topic Contributed
• Date/Time: Wednesday, August 1, 2018 : 10:30 AM to 12:20 PM
• Sponsor: IMS
• Author(s): Tonghui Wang* and Xiaonan Zhu
• Companies: New Mexico State University and New Mexico State University
• Keywords: asymmetric association; mutually complete dependence; functional dependence; association measures; directional dependence; copula

Abstract

In this survey talk, we review some recent contributions to multivariate measures of asymmetric associations, i.e., associations in an n-dimension random vector, where n >1. Specially, we pay more attention on measures of complete dependence (or functional dependence). Comparisons among measures are obtained and several examples are given to illustrate differences among these measures. Also nonparametric estimations of several measures are provided.