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Copula-Based Dependence Measures For Piecewise Monotonicity

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  • Liebscher Eckhard

    (University of Applied Sciences Merseburg, Department of Engineering and Natural Sciences, D-06217 Merseburg, Germany)

Abstract

The aim of the present paper is to develop and examine association coefficients which can be helpfully applied in the framework of regression analysis. The construction of the coeffiecients is connected with the well-known Spearman coeffiecient and extensions of it (see Liebscher [5]). The proposed coeffiecient measures the discrepancy between the data points and a function which is strictly increasing on one interval and strictly decreasing in the remaining domain.We prove statements about the asymptotic behaviour of the estimated coeffiecient (convergence rate, asymptotic normality).

Suggested Citation

  • Liebscher Eckhard, 2017. "Copula-Based Dependence Measures For Piecewise Monotonicity," Dependence Modeling, De Gruyter, vol. 5(1), pages 198-220, August.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:198-220:n:12
    DOI: 10.1515/demo-2017-0012
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    References listed on IDEAS

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    1. Bucher, Axel & Segers, Johan & Volgushev, Stanislav, 2014. "When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs," LIDAM Reprints ISBA 2014018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Marco Scarsini, 1984. "Strong measures of concordance and convergence in probability," Post-Print hal-00542387, HAL.
    3. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    4. Grothe, Oliver & Schnieders, Julius & Segers, Johan, 2014. "Measuring association and dependence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 96-110.
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