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Titel:

Large-sample theory for the Bergsma-Dassios sign covariance

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Nandy, Preetam; Weihs, Luca; Drton, Mathias
Abstract:
The Bergsma-Dassios sign covariance is a recently proposed extension of Kendall’s tau. In contrast to tau or also Spearman’s rho, the new sign covariance τ∗ vanishes if and only if the two considered random variables are independent. Specifically, this result has been shown for continuous as well as discrete variables. We develop large-sample distribution theory for the empirical version of τ∗. In particular, we use theory for degenerate U-statistics to derive asymptotic null distributions under...     »
Stichworte:
Test of independence, asymptotics, U-statistics, nonparametric correlation, degeneracy, Hoeffding’s D
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Electronic Journal of Statistics
Jahr:
2016
Band / Volume:
10
Jahr / Monat:
2016-08
Quartal:
3. Quartal
Monat:
Aug
Heft / Issue:
2
Seitenangaben Beitrag:
2287-2311
Sprache:
en
Volltext / DOI:
doi:10.1214/16-ejs1166
WWW:
Project Euclid
Verlag / Institution:
Institute of Mathematical Statistics and Bernoulli Society
E-ISSN:
1935-7524
Publikationsdatum:
01.08.2016
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