A framework for quantifying dependence between random vectors is introduced. Using the notion of a collapsing function, random vectors are summarized by single random variables, referred to as collapsed random variables. Measures of association …

Motivated by the use of high-dimensional data such as data from several hundred risk-factor changes in the realm of quantitative risk management, we raise the following simple question, namely, How can one detect and visualize dependence in high-dimensional data?

Research seminar given at the Institute for Statistics and Mathematics, Wien University.

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