13th Iranian Statistics Conference , 2016-08-23

Title : ( Testing for independence against orthant dependence in multivariate models )

Authors: Mansoor zargar , Hadi Jabbari Nooghabi , Mohammad Amini ,

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A class of distribution-free tests for testing independence against positive quadrant dependence has been proposed by Kochar and Gupta(1987). In this paper,we consider a test of independence against orthant dependence. The proposed test is a generalization of Kochar and Gupta's tests to one multivariate dependence case. Also,we investigate two multivariate extensions of Kendall's tau as two competitors of this generalized class. The frst option, developed byJoe (1990), is a direct generalization of Kendall's tau in the bivariate case and is based on Kochar and Gupta's approach. The second one, introduced by Kendall and Babington Smith (1940), is a coefficient of agreement defind as the average value of Kendall's tau taken overall possible pairs of variables. Finally,we compare the empirical power of multivariate extensions of Kendall's tau with that of the generalization of Kochar and Gupta's tests.

Keywords

, Coeffcient of agreement, Kendall's tau, Multivariate copulas, Orthant
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@inproceedings{paperid:1057977,
author = {Zargar, Mansoor and Jabbari Nooghabi, Hadi and Amini, Mohammad},
title = {Testing for independence against orthant dependence in multivariate models},
booktitle = {13th Iranian Statistics Conference},
year = {2016},
location = {کرمان, IRAN},
keywords = {Coeffcient of agreement; Kendall's tau; Multivariate copulas; Orthant dependence},
}

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%0 Conference Proceedings
%T Testing for independence against orthant dependence in multivariate models
%A Zargar, Mansoor
%A Jabbari Nooghabi, Hadi
%A Amini, Mohammad
%J 13th Iranian Statistics Conference
%D 2016

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