Citation Link: https://doi.org/10.1016/j.jmva.2024.105337
Ordinal pattern dependence and multivariate measures of dependence
Publication Type
Article
Subjects
Multivariate statistics
Statistics
Multivariate analysis
Psychology
Mathematics
Ordinal regression
Econometrics
Date Issued
2024
Abstract
Ordinal 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.
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