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Multivariate extensions of Spearman's rho and related statistics

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  • Schmid, Friedrich
  • Schmidt, Rafael

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.

Suggested Citation

  • Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate extensions of Spearman's rho and related statistics," Statistics & Probability Letters, Elsevier, vol. 77(4), pages 407-416, February.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:4:p:407-416
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    References listed on IDEAS

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    1. Borkowf, Craig B., 2002. "Computing the nonnull asymptotic variance and the asymptotic relative efficiency of Spearman's rank correlation," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 271-286, May.
    2. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
    3. Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2004. "A new class of bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 315-325, February.
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