User: Guest  Login
Title:

Large-sample theory for the Bergsma-Dassios sign covariance

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
Test of independence, asymptotics, U-statistics, nonparametric correlation, degeneracy, Hoeffding’s D
Dewey Decimal Classification:
510 Mathematik
Journal title:
Electronic Journal of Statistics
Year:
2016
Journal volume:
10
Year / month:
2016-08
Quarter:
3. Quartal
Month:
Aug
Journal issue:
2
Pages contribution:
2287-2311
Language:
en
Fulltext / DOI:
doi:10.1214/16-ejs1166
WWW:
Project Euclid
Publisher:
Institute of Mathematical Statistics and Bernoulli Society
E-ISSN:
1935-7524
Date of publication:
01.08.2016
 BibTeX