Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho
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References listed on IDEAS
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- Bakirov, Nail K. & Rizzo, Maria L. & Szekely, Gábor J., 2006. "A multivariate nonparametric test of independence," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1742-1756, September.
- Ghoudi, Kilani & Kulperger, Reg J. & Rémillard, Bruno, 2001. "A Nonparametric Test of Serial Independence for Time Series and Residuals," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 191-218, November.
- Taskinen, Sara & Oja, Hannu & Randles, Ronald H., 2005. "Multivariate Nonparametric Tests of Independence," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 916-925, September.
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- Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2013. "On the estimation of Spearman’s rho and related tests of independence for possibly discontinuous multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 214-228.
- García, Jesús E. & González-López, V.A. & Nelsen, R.B., 2013. "A new index to measure positive dependence in trivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 481-495.
- Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
- Ivan Kojadinovic & Jean-François Quessy & Tom Rohmer, 2016. "Testing the constancy of Spearman’s rho in multivariate time series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(5), pages 929-954, October.
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KeywordsSpearman’s rho; Empirical copula process; Contiguous sequences;
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