Large-Sample Theory for the Bergsma-Dassios Sign Covariance

@inproceedings{Nandy2016LargeSampleTF,
  title={Large-Sample Theory for the Bergsma-Dassios Sign Covariance},
  author={Preetam Nandy and Luca Weihs and Mathias Drton},
  year={2016}
}
  • Preetam Nandy, Luca Weihs, Mathias Drton
  • Published 2016
  • Mathematics
  • The Bergsma-Dassios sign covariance is a recently proposed extension of Kendall's tau. In contrast to tau or also Spearman's rho, the new sign covariance $\tau^*$ vanishes if and only if the two considered random variables are independent. Specifically, this result has been shown for continuous as well as discrete variables. We develop large-sample distribution theory for the empirical version of $\tau^*$. In particular, we use theory for degenerate U-statistics to derive asymptotic null… CONTINUE READING

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