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Partial correlation with copula modeling

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

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    File URL: http://www.sciencedirect.com/science/article/B6V8V-516M70K-1/2/a89d514a4a0ce4e668577284f9898815
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 55 (2011)
    Issue (Month): 3 (March)
    Pages: 1357-1366

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    Handle: RePEc:eee:csdana:v:55:y:2011:i:3:p:1357-1366
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    2. 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.
    3. Jun Yan, . "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, American Statistical Association, vol. 21(i04).
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