On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior

Alexis Derumigny*, Jean-David Fermanian

*Corresponding author for this work

    Research output: Contribution to journalArticleAcademicpeer-review

    7 Downloads (Pure)
    Original languageEnglish
    Pages (from-to)292-321
    JournalDependence Modeling
    Volume7
    Issue number1
    DOIs
    Publication statusPublished - 30 Sep 2019

    Keywords

    • conditional dependence measures
    • kernel smoothing
    • conditional Kendall's tau

    Cite this

    @article{e590ef29795e40ddbc172aed0886b06c,
    title = "On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior",
    keywords = "conditional dependence measures, kernel smoothing, conditional Kendall's tau",
    author = "Alexis Derumigny and Jean-David Fermanian",
    year = "2019",
    month = "9",
    day = "30",
    doi = "10.1515/demo-2019-0016",
    language = "English",
    volume = "7",
    pages = "292--321",
    journal = "Dependence Modeling",
    issn = "2300-2298",
    publisher = "De Gruyter Open Ltd.",
    number = "1",

    }

    On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior. / Derumigny, Alexis; Fermanian, Jean-David.

    In: Dependence Modeling, Vol. 7, No. 1, 30.09.2019, p. 292-321.

    Research output: Contribution to journalArticleAcademicpeer-review

    TY - JOUR

    T1 - On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior

    AU - Derumigny, Alexis

    AU - Fermanian, Jean-David

    PY - 2019/9/30

    Y1 - 2019/9/30

    KW - conditional dependence measures

    KW - kernel smoothing

    KW - conditional Kendall's tau

    U2 - 10.1515/demo-2019-0016

    DO - 10.1515/demo-2019-0016

    M3 - Article

    VL - 7

    SP - 292

    EP - 321

    JO - Dependence Modeling

    JF - Dependence Modeling

    SN - 2300-2298

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