Measuring Dependence of Random Variables with Finite and Infinite Variance using the Codifference and the Generalized Codifference Function

被引：4
|
作者：
Rosadi, Dedi [1 ]
机构：
[1] Gadjah Mada Univ, Dept Math, Yogyakarta, Indonesia
来源：
ADVANCES OF SCIENCE AND TECHNOLOGY FOR SOCIETY | 2016年 / 1755卷
关键词：
D O I：
10.1063/1.4958544
中图分类号：
O59 [应用物理学];
学科分类号：
摘要：
In this paper, we discuss two generalized dependence measures for random variables with finite and infinite variance, namely the codifference and its extension, the generalized codifference function. We show some basic properties of these measures. We propose a new method to estimate the functions and provide an empirical application of the measures.
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页数：6
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