Multivariate extensions of Spearman's rho and related statistics

Friedrich Schmid and Rafael Schmidt

Statistics & Probability Letters, 2007, vol. 77, issue 4, 407-416

Abstract: Multivariate measures of association are considered which, in the bivariate case, coincide with the population version of Spearman's rho. For these measures, nonparametric estimators are introduced via the empirical copula. Their asymptotic normality is established under rather weak assumptions concerning the copula. The asymptotic variances are explicitly calculated for some copulas of simple structure. For general copulas, a nonparametric bootstrap is established.

Keywords: Spearman's; rho; Multivariate; measure; of; association; Copula; Nonparametric; estimation; Empirical; copula; Weak; convergence; Asymptotic; variance; Nonparametric; bootstrap (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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