About Kendall's regression
Statistics Theory
2018-11-21 v2 Methodology
Statistics Theory
Abstract
Conditional Kendall's tau is a measure of dependence between two random variables, conditionally on some covariates. We assume a regression-type relationship between conditional Kendall's tau and some covariates, in a parametric setting with a large number of transformations of a small number of regressors. This model may be sparse, and the underlying parameter is estimated through a penalized criterion. We prove non-asymptotic bounds with explicit constants that hold with high probabilities. We derive the consistency of a two-step estimator, its asymptotic law and some oracle properties. Some simulations and applications to real data conclude the paper.
Cite
@article{arxiv.1802.07613,
title = {About Kendall's regression},
author = {Alexis Derumigny and Jean-David Fermanian},
journal= {arXiv preprint arXiv:1802.07613},
year = {2018}
}
Comments
37 pages, 5 figures