On Kendall's regression

DOI10.1016/j.jmva.2020.104610zbMath1440.62225arXiv1802.07613OpenAlexW3012881319MaRDI QIDQ2181725

Alexis Derumigny, Jean-David Fermanian

Publication date: 19 May 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.07613

zbMATH Keywords

kernel smoothingconditional Kendall's tauconditional dependence measuresregression-type models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to social sciences (62P25)

Cites Work

• Testing the simplifying assumption in high-dimensional vine copulas
• The Adaptive Lasso and Its Oracle Properties
• Beyond simplified pair-copula constructions
• Conditional copulas, association measures and their applications
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Asymptotics for argmin processes: convexity arguments
• About tests of the ``simplifying assumption for conditional copulas
• A classification point-of-view about conditional Kendall's tau
• Slope meets Lasso: improved oracle bounds and optimality
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Simultaneous analysis of Lasso and Dantzig selector
• Estimation of a Conditional Copula and Association Measures
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Asymptotic Statistics

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