Partial and average copulas and association measures
Partial and average copulas and association measures
For a pair $(Y_{1},Y_{2})$ of random variables there exist several measures of association that characterize the dependence between $Y_{1}$ and $Y_{2}$ by means of one single value. Classical examples are Pearson's correlation coefficient, Kendall's tau and Spearman's rho. For the situation where next to the pair $(Y_{1},Y_{2})$ there is also …