Copula-Based Dependence Measures For Piecewise Monotonicity

Eckhard Liebscher. "Copula-Based Dependence Measures For Piecewise Monotonicity." Dependence Modeling 5.1 (2017): 198-220. <http://eudml.org/doc/288336>.

@article{EckhardLiebscher2017,
abstract = {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).},
author = {Eckhard Liebscher},
journal = {Dependence Modeling},
keywords = {dependence measures; Spearman’s 𝜌; Spearman’s footrule; estimators for dependence measures; piecewise monotonicity},
language = {eng},
number = {1},
pages = {198-220},
title = {Copula-Based Dependence Measures For Piecewise Monotonicity},
url = {http://eudml.org/doc/288336},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Eckhard Liebscher
TI - Copula-Based Dependence Measures For Piecewise Monotonicity
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 198
EP - 220
AB - 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).
LA - eng
KW - dependence measures; Spearman’s 𝜌; Spearman’s footrule; estimators for dependence measures; piecewise monotonicity
UR - http://eudml.org/doc/288336
ER -