On a multivariate copula-based dependence measure and its estimation

Florian Griessenberger, Robert R. Junker, Wolfgang Trutschnig

Working with so-called linkages allows to define a copula-based, $[0,1]$-valued multivariate dependence measure ${\zeta }^1(\mathbf{X},Y)$ quantifying the scale-invariant extent of de…