On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
DOI10.1515/DEMO-2019-0016zbMATH Open1439.62149arXiv1810.06234OpenAlexW2978071447WikidataQ127184608 ScholiaQ127184608MaRDI QIDQ2178946FDOQ2178946
Authors: Alexis Derumigny, Jean-David Fermanian 
Publication date: 12 May 2020
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.06234
Recommendations
Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
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Cited In (10)
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
- A classification point-of-view about conditional Kendall's tau
- On the variable bandwidth kernel estimation of conditional \(U\)-statistics at optimal rates in sup-norm
- Bounds on Kendall's tau for zero-inflated continuous variables
- On Kendall's regression
- Asymptotic approximations to the distribution of Kendall's sample τ
- Testing for equality between conditional copulas given discretized conditioning events
- Conditional empirical copula processes and generalized measures of association
- Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
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