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Spearman coefficient for functions

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

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

Suggested Citation

  • Valencia García, Dalia Jazmin & Lillo Rodríguez, Rosa Elvira & Romo, Juan, 2013. "Spearman coefficient for functions," DES - Working Papers. Statistics and Econometrics. WS ws133329, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws133329
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    References listed on IDEAS

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