Multivariate extensions of Spearman's rho and related statistics

被引：92
|
作者：
Schmid, Friedrich [1 ]
Schmidt, Rafael [1 ]
机构：
[1] Univ Cologne, Dept Econ & Social Stat, D-5000 Cologne 41, Germany
来源：
STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 04期
关键词：
Spearman's rho; muitivariate measure of association; copula; nonparametric estimation; empirical copula; weak convergence; asymptotic variance; nonparametric bootstrap;
D O I：
10.1016/j.spl.2006.08.007
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：407 / 416
页数：10
相关论文
共 50 条
12345