A subcopula based dependence measure

TL;DR

This paper introduces a new dependence measure for pairs of random variables, applicable to various types, and provides a sample-based version with an R package for practical computation.

Contribution

It proposes a novel dependence measure based on subcopulas, extending concordance measures to arbitrary variable types, with implementation tools included.

Findings

The measure effectively captures dependence across different variable types.

A sample version based on empirical subcopulas is developed.

An R package facilitates practical application of the measure.

Abstract

A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the proposed dependence measure based on the empirical subcopula is provided, along with an R package to perform the corresponding calculations.