Title: A classification point-of-view about conditional Kendall's tau
Authors: Alexis Derumigny - ENSAE-CREST (France) [presenting]
Jean-David Fermanian - Ensae-Crest (France)
Abstract: The problem of estimating conditional Kendall's tau is shown to be rewritten as a classification task. Conditional Kendall's tau is a conditional dependence parameter that is a characteristic of a given pair of random variables. The goal is to predict whether the pair is concordant (value of 1) or discordant (value of -1) conditionally on some covariates. We prove the consistency and the asymptotic normality of a family of penalized approximate maximum likelihood estimators, including the equivalent of the logit and probit regressions in our framework. Then, we detail specific algorithms adapting usual machine learning techniques, including nearest neighbors, decision trees, random forests and neural networks, to the setting of the estimation of conditional Kendall's tau. A small simulation study compares their finite sample properties. Finally, we apply all these estimators to a dataset of European stock indices.