Local Dependence Test Between Random Vectors Based on the Robust Conditional Spearman’s ρ and Kendall’s τ

IF 0.9 4区 数学 Q3 MATHEMATICS, APPLIED
Ling-yue Zhang, Heng-jian Cui
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引用次数: 0

Abstract

This paper introduces two local conditional dependence matrices based on Spearman’s ρ and Kendall’s τ given the condition that the underlying random variables belong to the intervals determined by their quantiles. The robustness is studied by means of the influence functions of conditional Spearman’s ρ and Kendall’s τ. Using the two matrices, we construct the corresponding test statistics of local conditional dependence and derive their limit behavior including consistency, null and alternative asymptotic distributions. Simulation studies illustrate a superior power performance of the proposed Kendall-based test. Real data analysis with proposed methods provides a precise description and explanation of some financial phenomena in terms of mathematical statistics.

基于鲁棒条件Spearmanρ和Kendallτ的随机向量间的局部相关性检验
本文引入了两个基于Spearmanρ和Kendallτ的局部条件依赖矩阵,给出了底层随机变量属于由其分位数确定的区间的条件。利用条件Spearman的ρ和Kendall的τ的影响函数研究了鲁棒性。利用这两个矩阵,我们构造了相应的局部条件依赖的检验统计量,并导出了它们的极限行为,包括一致性、零和替代渐近分布。仿真研究表明,所提出的基于肯德尔的测试具有优越的功率性能。使用所提出的方法进行真实数据分析,可以从数理统计的角度准确描述和解释一些金融现象。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.30
自引率
0.00%
发文量
70
审稿时长
3.0 months
期刊介绍: Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
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