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Global correlation and uncertainty accounting

Author

Listed:
  • Cooke Roger M.
  • Saatchi Sassan
  • Hagen Stephen

    (Resources for the Future)

Abstract

For a high dimensional field of random variables, global correlation is defined as the ratio of average covariance and average variance, and its elementary properties are studied. Global correlation is used to harmonize uncertainty assessments at global and local scales. It can be estimated by the correlation of random aggregations of fixed size of disjoint sets of random variables. Illustrative applications are given using crop loss per county per year and forest carbon.

Suggested Citation

  • Cooke Roger M. & Saatchi Sassan & Hagen Stephen, 2016. "Global correlation and uncertainty accounting," Dependence Modeling, De Gruyter, vol. 4(1), pages 184-189, September.
    • Handle: RePEc:vrs:demode:v:4:y:2016:i:1:p:184-189:n:9
    DOI: 10.1515/demo-2016-0009
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