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Measuring stochastic dependence using [phi]-divergence

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  • Micheas, Athanasios C.
  • Zografos, Konstantinos

Abstract

The problem of bivariate (multivariate) dependence has enjoyed the attention of researchers for over a century, since independence in the data is often a desired property. There exists a vast literature on measures of dependence, based mostly on the distance of the joint distribution of the data and the product of the marginal distributions, where the latter distribution assumes the property of independence. In this article, we explore measures of multivariate dependence based on the [phi]-divergence of the joint distribution of a random vector and the distribution that corresponds to independence of the components of the vector, the product of the marginals. Properties of these measures are also investigated and we employ and extend the axiomatic framework of Renyi [On measures of dependence, Acta Math. Acad. Sci. Hungar. 10 (1959) 441-451], in order to assert the importance of [phi]-divergence measures of dependence for a general convex function [phi] as well as special cases of [phi]. Moreover, we obtain point estimates as well as interval estimators when an elliptical distribution is used to model the data, based on [phi]-divergence via Monte Carlo methods.

Suggested Citation

  • Micheas, Athanasios C. & Zografos, Konstantinos, 2006. "Measuring stochastic dependence using [phi]-divergence," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 765-784, March.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:3:p:765-784
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    Citations

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    Cited by:

    1. Apratim Guha & Atanu Biswas & Abhik Ghosh, 2021. "A nonparametric two‐sample test using a general φ‐divergence‐based mutual information," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 75(2), pages 180-202, May.
    2. Ebrahimi, Nader & Jalali, Nima Y. & Soofi, Ehsan S., 2014. "Comparison, utility, and partition of dependence under absolutely continuous and singular distributions," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 32-50.
    3. Karl Siburg & Pavel Stoimenov, 2010. "A measure of mutual complete dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 239-251, March.
    4. Rodríguez, Jhan & Bárdossy, András, 2015. "Entropy measure for the quantification of upper quantile interdependence in multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 317-324.
    5. Majid Asadi & Karthik Devarajan & Nader Ebrahimi & Ehsan Soofi & Lauren Spirko‐Burns, 2022. "Elaboration Models with Symmetric Information Divergence," International Statistical Review, International Statistical Institute, vol. 90(3), pages 499-524, December.

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