Ordinal pattern dependence and multivariate measures of dependence

IF 1.4 3区数学 Q2 STATISTICS & PROBABILITY

Journal of Multivariate Analysis Pub Date : 2024-05-28 DOI:10.1016/j.jmva.2024.105337

Angelika Silbernagel, Alexander Schnurr

引用次数: 0

Abstract

Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article by Betken et al. (2021). Furthermore, we show that ordinal pattern dependence satisfies a slightly modified set of axioms.

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序数模式依赖性和多元依赖性测量法

引入序数模式依赖性是为了捕捉两个时间序列之间的共单调行为。这一概念具有人们对隶属度量直观要求的几个特征。人们认为，序数模式依赖性满足 Grothe 等人（2014 年）提出的多元依赖性度量公理。在本文中，我们将证明事实并非如此，Betken 等人（2021 年）的文章存在错误。此外，我们还证明了序数模式依赖性满足一组稍加修改的公理。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multivariate Analysis 数学-统计学与概率论

CiteScore

2.40

自引率

25.00%

发文量

108

审稿时长

74 days

期刊介绍： Founded in 1971, the Journal of Multivariate Analysis (JMVA) is the central venue for the publication of new, relevant methodology and particularly innovative applications pertaining to the analysis and interpretation of multidimensional data. The journal welcomes contributions to all aspects of multivariate data analysis and modeling, including cluster analysis, discriminant analysis, factor analysis, and multidimensional continuous or discrete distribution theory. Topics of current interest include, but are not limited to, inferential aspects of Copula modeling Functional data analysis Graphical modeling High-dimensional data analysis Image analysis Multivariate extreme-value theory Sparse modeling Spatial statistics.