Spearman coefficient for functions

Dalia Jazmin Valencia García, Rosa Elvira Lillo Rodríguez and Juan Romo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We present a notion of Spearman's coefficient for functional data that extends the classical bivariate concept to situations where the observed data are curves generated by a stochastic process. Since Spearman's coefficient for bivariate samples is based on the natural data ordering in dimension one, we need to consider a data order in the functional context where a natural order between functions does not exist. The development uses a pre-order inspired in a depth definition but considering a down-up ordering instead of a center-outwards ordering of the sample. We show some of the main characteristics of Spearman's coefficient for functions and propose an independence test with a bootstrap methodology. We illustrate the performance of the new coefficient with both simulated and real data

Keywords: Dependence; Functional; data; Grades; Spearman's coefficient (search for similar items in EconPapers)
Date: 2013-12
New Economics Papers: this item is included in nep-ecm
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