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

作　　者：Ling-yue ZHANG Heng-jian CUI 

机构地区：[1]School of Mathematical Sciences,Capital Normal University,Beijing 100048,China

出　　处：《Acta Mathematicae Applicatae Sinica》2023年第3期491-510,共20页应用数学学报（英文版）

基　　金：the State Key Program of the National Natural Science Foundation of China(No:12031016);the National Natural Science Foundation of China(Nos:11971324,11901406,12201435);the Beijing Postdoctoral Research Foundation(No:2022-ZZ-084);the Interdisciplinary Construction of Bioinformatics and Statistics;the Academy for Multidisciplinary Studies,Capital Normal University。

摘　　要：This paper introduces two local conditional dependence matrices based on Spearman'sρand Kendall'sτgiven 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'sρand Kendall'sτ.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.

关 键 词：local dependence influence function rank correlation U-STATISTIC 

分 类 号：O212.1[理学—概率论与数理统计] F830[理学—数学]