Estimates of the covariance matrix of vectors of U-statistics and confidence regions for vectors of Kendall´s tau

Title:

Estimates of the covariance matrix of vectors of U-statistics and confidence regions for vectors of Kendall´s tau

Creator:

Rublík, František

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:ed2e0fba-6187-4005-8eb9-cab5e76974bf
uuid:ed2e0fba-6187-4005-8eb9-cab5e76974bf

Subject:

consistent estimate of asymptotic covariance matrix, U-statistics, vector of Kendall´s coefficients, coefficient of agreement, and confidence interval

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

Consistent estimators of the asymptotic covariance matrix of vectors of U-statistics are used in constructing asymptotic confidence regions for vectors of Kendall's correlation coefficients corresponding to various pairs of components of a random vector. The regions are products of intervals computed by means of a critical value from multivariate normal distribution. The regularity of the asymptotic covariance matrix of the vector of Kendall's sample coefficients is proved in the case of sampling from continuous multivariate distribution under mild conditions. The results are applied also to confidence intervals for the coefficient of agreement. The coverage and length of the obtained (multivariate) product of intervals are illustrated by simulation.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[280]-293

Source:

Kybernetika | 2016 Volume:52 | Number:2

Harvested from:

CDK

Metadata only:

false