Authors: Siburg, Karl F.
Stoimenov, Pavel A.
Title: A measure of mutual complete dependence
Language (ISO): en
Abstract: Two random variables X and Y are mutually completely dependent (m.c.d.) if there is a measurable bijection f with P(Y = f(X)) = 1. For continuous X and Y , a natural approach to constructing a measure of dependence is via the distance between the copula of X and Y and the independence copula. We show that this approach depends crucially on the choice of the distance function. For example, the L^p-distances, suggested by Schweizer and Wolff, cannot generate a measure of (mutual complete) dependence, since every copula is the uniform limit of copulas linking m.c.d. variables. Instead, we propose to use a modified Sobolev norm, with respect to which, mutual complete dependence cannot approximate any other kind of dependence. This Sobolev norm yields the first nonparametric measure of dependence capturing precisely the two extremes of dependence, i.e., it equals 0 if and only if X and Y are independent, and 1 if and only if X and Y are m.c.d.
Subject Headings: Measure of dependence
Mutual complete dependence
Copula
Sobolev norm
URI: http://hdl.handle.net/2003/25271
http://dx.doi.org/10.17877/DE290R-15871
Issue Date: 2008-05-15T10:33:30Z
Appears in Collections:Preprints der Fakultät für Mathematik

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