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Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data

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  • Hofert, Marius
  • Oldford, Wayne

Abstract

The notion of a zenpath and a zenplot is introduced to search and detect dependence in high-dimensional data for model building and statistical inference. By using any measure of dependence between two random variables (such as correlation, Spearman’s rho, Kendall’s tau, tail dependence etc.), a zenpath can construct paths through pairs of variables in different ways, which can then be laid out and displayed by a zenplot. The approach is illustrated by investigating tail dependence and model fit in constituent data of the S&P 500 during the financial crisis of 2007–2008. The corresponding Global Industry Classification Standard (GICS) sector information is also addressed.

Suggested Citation

  • Hofert, Marius & Oldford, Wayne, 2018. "Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data," Econometrics and Statistics, Elsevier, vol. 8(C), pages 161-183.
    • Handle: RePEc:eee:ecosta:v:8:y:2018:i:c:p:161-183
    DOI: 10.1016/j.ecosta.2017.03.007
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    2. Hofert, Marius & Prasad, Avinash & Zhu, Mu, 2022. "Multivariate time-series modeling with generative neural networks," Econometrics and Statistics, Elsevier, vol. 23(C), pages 147-164.

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