Nonparametric estimation of the multivariate Spearman's footrule: A further discussion
In this paper, we propose two new estimators of the multivariate rank correlation coefficient Spearman's footrule which are based on two general estimators for Average Orthant Dependence measures. We compare the new proposals with a previous estimator existing in the literature and show that th...
| Autores: | , , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2023 |
| País: | España |
| Institución: | Universidad Autónoma de Madrid |
| Repositorio: | Biblos-e Archivo. Repositorio Institucional de la UAM |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.uam.es:10486/707868 |
| Acceso en línea: | http://hdl.handle.net/10486/707868 https://dx.doi.org/10.1016/j.fss.2023.02.010 |
| Access Level: | acceso abierto |
| Palabra clave: | Concordance Copula Multivariate association Orthant dependence Pitman efficiency Spearman's footrule Matemáticas |
| Sumario: | In this paper, we propose two new estimators of the multivariate rank correlation coefficient Spearman's footrule which are based on two general estimators for Average Orthant Dependence measures. We compare the new proposals with a previous estimator existing in the literature and show that the three estimators are asymptotically equivalent, but, in small samples, one of the proposed estimators outperforms the others. We also analyse Pitman efficiency of these indices to test for multivariate independence as compared to multivariate versions of Kendall's tau and Spearman's rho |
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