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The partial copula: Properties and associated dependence measures (1511.06665v1)
Published 20 Nov 2015 in stat.ME
Abstract: The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial copula, which is a natural generalization of the partial correlation coefficient, and investigate several of its properties. In addition, properties of some associated partial dependence measures are examined.