英文标题：
《A new multivariate dependence measure based on comonotonicity》
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作者：
Ying Zhang and Chuancun Yin
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最新提交年份：
2014
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英文摘要：
In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and relations between the new dependence measure and other multivariate measures are an- alyzed. We also give several characteristics of this measure and estimations based on the definitions and its property are presented.
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中文摘要：
在本文中，我们引入了一种新的基于乘积矩的共单调性的多元依赖性测度，这是受Koch和Schepper（ASTIN Bulletin 41（2011）191-213）和Dhaene等人（Journal of Computative and Applied Mathematics 263（2014）78-87）最近的论文的启发。分析了新的相关性测度与其他多元测度之间的一些区别和联系。我们还给出了该测度的几个特征，并给出了基于这些定义的估计及其性质。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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