RDM: Quantify Dependence using Rearranged Dependence Measures
Holger Dette, Karl Friedrich Siburg, Christopher Strothmann · 2023
Estimates the rearranged dependence measure ('RDM') of two continuous random variables for different underlying measures. Furthermore, it provides a method to estimate the (SI)-rearrangement copula using empirical checkerboard copulas. It is based on the theoretical results presented in Strothmann et al. (2022) and Strothmann (2021) .