Gaißer, Sandra; Ruppert, Martin; Schmid, Friedrich - In: Journal of Multivariate Analysis 101 (2010) 10, pp. 2571-2586
A multivariate measure of association is proposed, which extends the bivariate copula-based measure Phi-Square introduced by Hoeffding [22]. We discuss its analytical properties and calculate its explicit value for some copulas of simple form; a simulation procedure to approximate its value is...