主题
《Measuring And Testing For Interval QUANTILE Dependence》
主讲嘉宾
朱利平教授
中国人民大学大数据研究院,国家优秀青年基金获得者,入选中组部万人计划青年拔尖人才及教育部新世纪优秀人才。
时间
2017年12月21日下午3:50----4:50
地点
文清421
主办单位
经济与统计学院及岭南统计科学研究中心
讲座内容简介
We introduce the notion of interval quantile independence which generalizes the notions of statistical independence and quantile independence. We suggest an index to measure and test departure from interval quantile independence. The proposed index is invariant to monotone transformations, nonnegative and equals zero if and only if the interval quantile independence holds true. We suggest a moment estimate to implement the test. The resultant estimator is root-$n$-consistent if the index is positive and $n$-consistent otherwise, leading to a consistent test of interval quantile independence. The asymptotic distribution of the moment estimator is free of parent distribution, which facilitates to decide the critical values for tests of interval quantile independence.