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Asymptotic inference on a general measure of monotone dependence

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Summary

In this paper a class of measures of monotone dependence (concordance/discordance) for arbitrary (not necessarily continuous) bivariate distributions is considered. It is shown that the corresponding sampling index of concordance/discordance (which is the most natural estimator of the population index) converges in law to a normal distribution. A Berry-Esséen bound for its rate of convergence is given. Finally, a consistent estimator of the asymptotic variance of the sampling concordance/ discordance index is proposed. This last result is essential for constructing confidence intervals and testing hypotheses on the population measure of monotone dependence.

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Authors and Affiliations

  1. Dipartimento di Statistica, Probabilità e Statistiche Applicate, Università di Roma «La Sapienza», p.le Aldo Moro, 5, 00185, Rome, Italy

    Pier Luigi Conti

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  1. Pier Luigi Conti
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Conti, P.L. Asymptotic inference on a general measure of monotone dependence. J. It. Statist. Soc. 3, 213–241 (1994). https://doi.org/10.1007/BF02589228

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  • DOI: https://doi.org/10.1007/BF02589228

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