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Marc-Oliver Pohle HITS Heidelberg
Marc-Oliver Pohle HITS Heidelberg
Generalised Covariance and Correlations The covariance of two random variables measures the average joint deviations from their respective means. We generalise this well-known measure by replacing the means with other statistical functionals such as quantiles, expectiles, or thresholds. Deviations from these functionals are defined via generalised errors, often induced by identification or moment functions. As […]