A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho

Ana Pérez and Mercedes Prieto-Alaiz

Statistics & Probability Letters, 2016, vol. 112, issue C, 41-50

Abstract: Schmid and Schmidt (2007) proposed copula-based nonparametric estimators for some multivariate extensions of Spearman’s rho. In this paper, we show that two of those estimators are inappropriate since they can take values out of the parameter space and we discuss alternative proposals.

Keywords: Spearman’s rho; Multivariate concordance; Empirical copula; Clayton copula; Gaussian copula (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2016.01.015

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