Measuring and testing for interval quantile dependence

DOI10.1214/17-AOS1635zbMATH Open1408.62087MaRDI QIDQ1991673FDOQ1991673

Authors: Li-Ping Zhu, Yaowu Zhang, Kai Xu 

Publication date: 30 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1536307230

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zbMATH Keywords

correlationquantile regressionindependencerank testsure screening property

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Sure independence screening in generalized linear models with NP-dimensionality
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• Feature screening via distance correlation learning
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• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
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• Quantile correlations and quantile autoregressive modeling
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• L-Estimation for Linear Models
• Globally adaptive quantile regression with ultra-high dimensional data
• Conditional quantile screening in ultrahigh-dimensional heterogeneous data
• An Adaptive Resampling Test for Detecting the Presence of Significant Predictors

Cited In (5)

• On Testing the Equality of Mean and Quantile Effects
• Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
• Rank-based indices for testing independence between two high-dimensional vectors
• Interval estimators for ratios of independent quantiles and interquantile ranges
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

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