Measuring and testing for interval quantile dependence
区间分位数依赖的度量与检验
In this article, 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…