Study of partial and average conditional Kendall's tau

被引：4
作者：
Gijbels, Irene [1 ,2 ]
Matterne, Margot [1 ,2 ]
机构：
[1] Katholieke Univ Leuven, Dept Math, Celestijnenlaan 200B,Box 2400, B-3001 Heverlee, Belgium
[2] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, Celestijnenlaan 200B,Box 2400, B-3001 Heverlee, Belgium
来源：
DEPENDENCE MODELING | 2021年 / 9卷 / 01期
关键词：
average conditional copula; association measures; conditional copula; Kendall's tau; partial copula; PAIR-COPULA CONSTRUCTIONS; TRANSFORMATIONS;
D O I：
10.1515/demo-2021-0104
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
When the interest is in studying conditional dependencies, and more precisely the strength of conditional dependencies, some kind of averaging over the conditioning random vector may be needed. Examples of average measures that can serve in this context are the average conditional Kendall's tau and partial Kendall's tau. It is known that these measures differ in general. Some statistical tests are based on these average measures, and a better knowledge of them is of importance. The aim of this paper is to provide a quantitative study of the possible differences of these two average measures, and to establish sufficient conditions under which they coincide. Both measures are studied in two fairly general settings. In each setting theoretical results are established as well as several illustrative examples given.
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收藏
页码：82 / 120
页数：39
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