IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v55y2011i3p1357-1366.html
   My bibliography  Save this article

Partial correlation with copula modeling

Author

Listed:
  • Kim, Jong-Min
  • Jung, Yoon-Sung
  • Choi, Taeryon
  • Sungur, Engin A.

Abstract

We propose a new partial correlation approach using Gaussian copula. Our empirical study found that the Gaussian copula partial correlation has the same value as that which is obtained by performing a Pearson's partial correlation. With the proposed method, based on canonical vine and d-vine, we captured direct interactions among eight histone genes.

Suggested Citation

  • Kim, Jong-Min & Jung, Yoon-Sung & Choi, Taeryon & Sungur, Engin A., 2011. "Partial correlation with copula modeling," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1357-1366, March.
  • Handle: RePEc:eee:csdana:v:55:y:2011:i:3:p:1357-1366
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(10)00368-3
    Download Restriction: Full text for ScienceDirect subscribers only.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
    2. Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
    3. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    4. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An Empirical Study on the Correlation Structure of Credit Spreads based on the Dynamic and Pair Copula Functions," China Finance Review International, Emerald Group Publishing, vol. 6(3), pages 284-303, August.
    2. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
    3. Gijbels, Irène & Veraverbeke, Noël & Omelka, Marel, 2011. "Conditional copulas, association measures and their applications," Computational Statistics & Data Analysis, Elsevier, vol. 55(5), pages 1919-1932, May.
    4. So, Mike K.P. & Yeung, Cherry Y.T., 2014. "Vine-copula GARCH model with dynamic conditional dependence," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 655-671.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:55:y:2011:i:3:p:1357-1366. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/csda .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.