Genest, Christian; Nešlehová, Johanna G.; Rémillard, … - In: Journal of Multivariate Analysis 117 (2013) C, pp. 214-228
Tie-corrected versions of Spearman’s rho are often used to measure the dependence in a pair of non-continuous random variables. Multivariate extensions of this coefficient, and estimators thereof, have recently been proposed by Quessy (2009a) [23] and Mesfioui and Quessy (2010) [19]....