IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

On Kendall's Process

  • Barbe, Philippe
  • Genest, Christian
  • Ghoudi, Kilani
  • Rémillard, Bruno

LetZ1, ..., Znbe a random sample of sizen[greater-or-equal, slanted]2 from ad-variate continuous distribution functionH, and letVi, nstand for the proportion of observationsZj,j[not equal to]i, such thatZj[less-than-or-equals, slant]Zicomponentwise. The purpose of this paper is to examine the limiting behavior of the empirical distribution functionKnderived from the (dependent) pseudo-observationsVi, n. This random quantity is a natural nonparametric estimator ofK, the distribution function of the random variableV=H(Z), whose expectation is an affine transformation of the population version of Kendall's tau in the cased=2. Since the sample version of[tau]is related in the same way to the mean ofKn, Genest and Rivest (1993,J. Amer. Statist. Assoc.) suggested that[formula]be referred to as Kendall's process. Weak regularity conditions onKandHare found under which this centered process is asymptotically Gaussian, and an explicit expression for its limiting covariance function is given. These conditions, which are fairly easy to check, are seen to apply to large classes of multivariate distributions.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6WK9-45NJFHG-6/2/a471983ad363d261e70c20696cd39c7b
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 58 (1996)
Issue (Month): 2 (August)
Pages: 197-229

as
in new window

Handle: RePEc:eee:jmvana:v:58:y:1996:i:2:p:197-229
Contact details of provider: Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information: Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=622892&ref=622892_01_ooc_1&version=01

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:58:y:1996:i:2:p:197-229. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.