Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions
Kendall’s tau and conditional Kendall’s tau matrices are multivariate (conditional) dependence measures between the components of a random vector. For large dimensions, available estimators are computationally expensive and can be improved by averaging. Under structural assumptions on the underlying...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2025-04-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2025-0012 |
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