Exploring local dependence

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2002
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Abberger, Klaus
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Zusammenfassung

This paper discusses two graphical methods for the investigation of local association of two continuous random variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two variables. However, dependence graphs have the potential to assess a far richer class of bivariate dependence structures. The two graphical methods discussed in this article are the chi-plot and the local dependence map. After the introduction of these methods they are applied to di®erent data sets. These data sets contain simulated data and daily stock return series. With these examples the application possibilities of the two local dependence graphs are shown.

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Fachgebiet (DDC)
330 Wirtschaft
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Association, bivariate distribution, chi-plot, copula, correlation, kernel smoothing, local dependence, permutation test
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ISO 690ABBERGER, Klaus, 2002. Exploring local dependence
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@techreport{Abberger2002Explo-11979,
  year={2002},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Exploring local dependence},
  number={2002/14},
  author={Abberger, Klaus}
}
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