Copula-Based Dependence Measures For Piecewise Monotonicity
| Autor: | Eckhard Liebscher |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Science (General) Asymptotic distribution 050801 communication & media studies Monotonic function spearman’s footrule 01 natural sciences Copula (probability theory) 010104 statistics & probability estimators for dependence measures Q1-390 0508 media and communications QA1-939 Applied mathematics 0101 mathematics Mathematics Applied Mathematics 05 social sciences Regression analysis piecewise monotonicity Data point Rate of convergence Modeling and Simulation Piecewise 62h20 dependence measures spearman’s 𝜌 |
| Zdroj: | Dependence Modeling, Vol 5, Iss 1, Pp 198-220 (2017) |
| ISSN: | 2300-2298 |
| Popis: | The aim of the present paper is to develop and examine association coefficients which can be helpfully applied in the framework of regression analysis. The construction of the coeffiecients is connected with the well-known Spearman coeffiecient and extensions of it (see Liebscher [5]). The proposed coeffiecient measures the discrepancy between the data points and a function which is strictly increasing on one interval and strictly decreasing in the remaining domain.We prove statements about the asymptotic behaviour of the estimated coeffiecient (convergence rate, asymptotic normality). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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