Kendall regression coefficient

Eckhard Liebscher

Computational Statistics & Data Analysis, 2021, vol. 157, issue C

Abstract: A new multivariate extension of Kendall’s dependence coefficient tailored for use in regression analysis is introduced. This coefficient is called Kendall regression coefficient and indicates how well the response variable can be approximated by a strictly increasing function of the regressor (predictor) variables. The properties of this coefficient are examined. In the second part the empirical regression coefficient is considered. It is proved that this coefficient is asymptotically normally distributed.

Keywords: Dependence measures; Kendall’s τ; Estimators for dependence measures (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302310

DOI: 10.1016/j.csda.2020.107140

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