Local Kendall’s Tau

DOI10.1007/978-3-319-13449-9_11zbMath1407.62208OpenAlexW132796489MaRDI QIDQ4558834

P. Buthkhunthong, A. Junchuay, I. Ongeera, Tippawan Santiwipanont, Songkiat Sumetkijakan

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_11

zbMATH Keywords

monotonicityKendall's taushuffles of MinFarlie-Gumbel-Morgenstern copulaslocal Kendall's taupointwise Kendall's tau

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• Shuffles of copulas and a new measure of dependence
• An introduction to copulas.
• Testing monotonicity of regression.
• Miscellanea. The local dependence function
• A new measure of linear local dependence

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