Bodnar, Olha; Bodnar, Taras; Gupta, Arjun K. - In: Journal of Multivariate Analysis 101 (2010) 4, pp. 869-881
In this paper, a new measure of dependence is proposed. Our approach is based on transforming univariate data to the space where the marginal distributions are normally distributed and then, using the inverse transformation to obtain the distribution function in the original space. The...