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Global correlation and uncertainty accounting. (English) Zbl 1349.62190

Summary: For a high dimensional field of random variables, global correlation is defined as the ratio of average covariance and average variance, and its elementary properties are studied. Global correlation is used to harmonize uncertainty assessments at global and local scales. It can be estimated by the correlation of random aggregations of fixed size of disjoint sets of random variables. Illustrative applications are given using crop loss per county per year and forest carbon.

MSC:

62H11 Directional data; spatial statistics
62P12 Applications of statistics to environmental and related topics
62P30 Applications of statistics in engineering and industry; control charts
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