On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior

DOI10.1515/demo-2019-0016zbMath1439.62149arXiv1810.06234OpenAlexW2978071447WikidataQ127184608 ScholiaQ127184608MaRDI QIDQ2178946

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

zbMATH Keywords

kernel smoothingconditional Kendall's tauconditional dependence measures

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (6)

On Kendall's regression ⋮ Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness ⋮ On the variable bandwidth kernel estimation of conditional \(U\)-statistics at optimal rates in sup-norm ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ On the uniform-in-bandwidth consistency of the general conditionalU-statistics based on the copula representation ⋮ Conditional empirical copula processes and generalized measures of association

Uses Software

• CRAN
• circular
• pcaPP

Cites Work

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