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The partial copula: Properties and associated dependence measures

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  • Spanhel, Fabian
  • Kurz, Malte S.

Abstract

The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial copula, which is a natural generalization of the partial correlation coefficient, and investigate several of its properties. In addition, properties of some associated partial dependence measures are examined.

Suggested Citation

  • Spanhel, Fabian & Kurz, Malte S., 2016. "The partial copula: Properties and associated dependence measures," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 76-83.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:76-83
    DOI: 10.1016/j.spl.2016.07.014
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    References listed on IDEAS

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    Cited by:

    1. Gijbels Irène & Matterne Margot, 2021. "Study of partial and average conditional Kendall’s tau," Dependence Modeling, De Gruyter, vol. 9(1), pages 82-120, January.

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