Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho

Miguel de Carvalho () and Filipe Marques

North American Actuarial Journal, 2012, vol. 16, issue 4, 487-492

Abstract: We discuss jackknife Euclidean likelihood-based inference methods, with a special focus on the construction of confidence intervals for Spearman's rho. We show that a Wilks's theorem holds for jackknife Euclidean likelihood, and based on it we construct confidence intervals for Spearman's rho. In a simulation study we examine the performance of our method, and a fire insurance claims database is used for its illustration.

Date: 2012
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DOI: 10.1080/10920277.2012.10597644

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