Study of partial and average conditional Kendall’s tau

When the interest is in studying conditional dependencies, and more precisely the strength of conditional dependencies, some kind of averaging over the conditioning random vector may be needed. Examples of average measures that can serve in this context are the average conditional Kendall’s tau and...

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Autores principales:	Gijbels Irène, Matterne Margot
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	average conditional copula association measures conditional copula kendall’s tau partial copula primary 60exx secondary 62hxx Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/d2e7572502b345e695db5d26b87a8aa0
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id	oai:doaj.org-article:d2e7572502b345e695db5d26b87a8aa0
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spelling	oai:doaj.org-article:d2e7572502b345e695db5d26b87a8aa02021-12-05T14:10:46ZStudy of partial and average conditional Kendall’s tau2300-229810.1515/demo-2021-0104https://doaj.org/article/d2e7572502b345e695db5d26b87a8aa02021-07-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0104https://doaj.org/toc/2300-2298When the interest is in studying conditional dependencies, and more precisely the strength of conditional dependencies, some kind of averaging over the conditioning random vector may be needed. Examples of average measures that can serve in this context are the average conditional Kendall’s tau and partial Kendall’s tau. It is known that these measures differ in general. Some statistical tests are based on these average measures, and a better knowledge of them is of importance. The aim of this paper is to provide a quantitative study of the possible differences of these two average measures, and to establish su˚cient conditions under which they coincide. Both measures are studied in two fairly general settings. In each setting theoretical results are established as well as several illustrative examples given.Gijbels IrèneMatterne MargotDe Gruyterarticleaverage conditional copulaassociation measuresconditional copulakendall’s taupartial copulaprimary 60exxsecondary 62hxxScience (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 82-120 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	average conditional copula association measures conditional copula kendall’s tau partial copula primary 60exx secondary 62hxx Science (General) Q1-390 Mathematics QA1-939
spellingShingle	average conditional copula association measures conditional copula kendall’s tau partial copula primary 60exx secondary 62hxx Science (General) Q1-390 Mathematics QA1-939 Gijbels Irène Matterne Margot Study of partial and average conditional Kendall’s tau
description	When the interest is in studying conditional dependencies, and more precisely the strength of conditional dependencies, some kind of averaging over the conditioning random vector may be needed. Examples of average measures that can serve in this context are the average conditional Kendall’s tau and partial Kendall’s tau. It is known that these measures differ in general. Some statistical tests are based on these average measures, and a better knowledge of them is of importance. The aim of this paper is to provide a quantitative study of the possible differences of these two average measures, and to establish su˚cient conditions under which they coincide. Both measures are studied in two fairly general settings. In each setting theoretical results are established as well as several illustrative examples given.
format	article
author	Gijbels Irène Matterne Margot
author_facet	Gijbels Irène Matterne Margot
author_sort	Gijbels Irène
title	Study of partial and average conditional Kendall’s tau
title_short	Study of partial and average conditional Kendall’s tau
title_full	Study of partial and average conditional Kendall’s tau
title_fullStr	Study of partial and average conditional Kendall’s tau
title_full_unstemmed	Study of partial and average conditional Kendall’s tau
title_sort	study of partial and average conditional kendall’s tau
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/d2e7572502b345e695db5d26b87a8aa0
work_keys_str_mv	AT gijbelsirene studyofpartialandaverageconditionalkendallstau AT matternemargot studyofpartialandaverageconditionalkendallstau
_version_	1718371746593112064

Study of partial and average conditional Kendall’s tau

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