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Copula-Based Dependence Measures For Piecewise Monotonicity

Copula-Based Dependence Measures For Piecewise Monotonicity AbstractThe 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). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Copula-Based Dependence Measures For Piecewise Monotonicity

Liebscher, Eckhard
Dependence Modeling , Volume 5 (1): 23 – Aug 28, 2017
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23 pages

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Publisher
de Gruyter
Copyright
© 2017
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2017-0012
Publisher site
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Abstract

AbstractThe 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).

Journal

Dependence Modeling – de Gruyter

Published: Aug 28, 2017

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