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Ordinal pattern dependence and multivariate measures of dependence

Author

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  • Silbernagel, Angelika
  • Schnurr, Alexander

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.

Suggested Citation

  • Silbernagel, Angelika & Schnurr, Alexander, 2024. "Ordinal pattern dependence and multivariate measures of dependence," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
    • Handle: RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000447
    DOI: 10.1016/j.jmva.2024.105337
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