WEN, FENGHUA; LIU, ZHIFENG - In: International Journal of Information Technology & … 08 (2009) 04, pp. 787-801
In this paper, a copula-based correlation measure is proposed to test the interdependence among stochastic variables in terms of copula function. Based on a geometric analysis of copula function, a new derivation method is introduced to derive the Gini correlation coefficient. Meantime...