Multivariate extensions of Spearman's rho and related statistics
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.
Year of publication: |
2007
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Authors: | Schmid, Friedrich ; Schmidt, Rafael |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 4, p. 407-416
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Publisher: |
Elsevier |
Keywords: | Spearman's rho Multivariate measure of association Copula Nonparametric estimation Empirical copula Weak convergence Asymptotic variance Nonparametric bootstrap |
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