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On Kendall’s regression

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  • Derumigny, Alexis
  • Fermanian, Jean-David

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 and a two-step inference procedure. We prove non-asymptotic bounds with explicit constants that hold with high probabilities. We derive the consistency of the latter estimator, its asymptotic law and some oracle properties. Some simulations and applications to real data conclude the paper.

Suggested Citation

  • Derumigny, Alexis & Fermanian, Jean-David, 2020. "On Kendall’s regression," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    • Handle: RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x1930435x
    DOI: 10.1016/j.jmva.2020.104610
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    References listed on IDEAS

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    Cited by:

    1. Rutger van der Spek & Alexis Derumigny, 2022. "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions," Papers 2204.03285, arXiv.org.
    2. Mariusz Czekala & Zbigniew Kurylek, 2021. "Inversions Distribution and Testing Correlation Changes for Rates of Return," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 633-650.

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