Schnurr, Alexander
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Publication Access status: Metadata only , Ordinal pattern dependence and multivariate measures of dependenceOrdinal 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.Source Type:Article2
