Detecting dependence with Kendall plots

DOI10.1198/0003130032431MaRDI QIDQ5189927zbMATH OpenOpenAlexFDO

Authors Christian Genest, Jean-Claude Boies

Publication date 11 March 2010

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/0003130032431

zbMATH Keywords

chi-plotcopulaKendall's taunonparametric associationprobability integral transformationrankitsSpearman's rho

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Nonparametric inference (62G99)

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Cited in

(30)

• Graphing Kendall's \(\tau \)
• Quantile curves and dependence structure for bivariate distributions
• On the length of copula level curves
• Copula theory and probabilistic sensitivity analysis: is there a connection?
• Inference in multivariate Archimedean copula models
• Visualizing bivariate long-tailed data
• A new family of Archimedean copulas: the truncated-Poisson family of copulas
• Validation of association
• Meta-elliptical copulas for drought frequency analysis of periodic hydrologic data
• Data depth and correlation
• Copula modelling of nurses' agitation-sedation rating of ICU patients
• Copulas: A Review and Recent Developments
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• On multivariate extensions of value-at-risk
• Multi-Panel Kendall plot in light of an ROC curve analysis applied to measuring dependence
• Estimation and goodness-of-fit procedures for Farlie-Gumbel-Morgenstern bivariate copula of order statistics
• scientific article; zbMATH DE number 7529803 (Why is no real title available?)
• Assessing the discriminatory power of loss given default models
• The swallow-tail plot: a simple graph for visualizing bivariate data
• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• Estimation of multivariate conditional-tail-expectation using Kendall's process
• Estimation of regression parameters in missing data problems
• Comments on: Inference in multivariate Archimedean copula models
• Copula modeling from Abe Sklar to the present day
• Measuring reproducibility of high-throughput experiments
• The nexus between black and digital gold: evidence from US markets
• AUK-based test for mutual independence and an index of mutual dependence
• Detecting dependence structure: visualization and inference
• Diagnostic tools for bivariate accelerated life regression models
• Graphical tests of independence for general distributions

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