On the rate of convergence to asymptotic independence between order statistics

Based on a non-parametric criterion of independence derived from a generalized version of the Schweizer-Wolff non-parametric measure of dependence, we calculate rates of convergence to asymptotic independence between the order statistics in a general setting. Three different rates of convergence are obtained, which explain in a comprehensive way earlier results in this area.

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Year of publication:	2004
Authors:	Hürlimann, Werner
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 66.2004, 3, p. 355-362
Publisher:	Elsevier
Keywords:	Order statistics Asymptotic independence Copula Schweizer-Wolff measure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319739