Multivariate extensions of Spearman's rho and related statistics
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Cites work
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- Computing the nonnull asymptotic variance and the asymptotic relative efficiency of Spearman's rank correlation
- Measuring large comovements in financial markets
- Multivariate concordance
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- Multivariate measures of concordance
- Semiparametric estimation in copula models
- Some new parametric families of multivariate copulas
- Tests of independence and randomness based on the empirical copula process
- The oscillation behavior of empirical processes: The multivariate case
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of empirical copula processes
Cited in
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- Statistical arbitrage with vine copulas
- A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho
- Stochastic representation of FGM copulas using multivariate Bernoulli random variables
- Dependence of Stock Returns in Bull and Bear Markets
- A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
- A multivariate dependence measure for aggregating risks
- Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
- Empirical and sequential empirical copula processes under serial dependence
- Measuring cumulative deprivation and affluence based on the diagonal dependence diagram
- Directional dependence in multivariate distributions
- scientific article; zbMATH DE number 6285789 (Why is no real title available?)
- Approximate Bayesian conditional copulas
- Copula-based dependence measures
- An extremal problem with applications to the problem of testing multivariate independence
- A measure of multivariate mutual complete dependence
- On the multidimensional extension of countermonotonicity and its applications
- Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)
- Bias in rank correlation under mixture models
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- Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance
- Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives
- On multivariate Gaussian copulas
- Single-index copulas
- Ranking ranks: a ranking algorithm for bootstrapping from the empirical copula
- A framework for robust measurement of implied correlation
- Measuring association and dependence between random vectors
- On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
- scientific article; zbMATH DE number 1744807 (Why is no real title available?)
- Local power analysis of goodness-of-fit tests for copulas
- A measure of mutual complete dependence in discrete variables through subcopula
- Copulas with maximum entropy
- Multivariate versions of Blomqvist's beta and Spearman's footrule
- On testing equality of pairwise rank correlations in a multivariate random vector
- On the empirical multilinear copula process for count data
- Testing the constancy of Spearman's rho in multivariate time series
- Conditional empirical copula processes and generalized measures of association
- Mutual information as a measure of multivariate association: analytical properties and statistical estimation
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- Tests of multivariate independence for ordinal data
- Spatial contagion between financial markets: a copula-based approach
- On the strong approximation of bootstrapped empirical copula processes with applications
- Extremal dependence concepts
- TCMI: a non-parametric mutual-dependence estimator for multivariate continuous distributions
- On the specification of multivariate association measures and their behaviour with increasing dimension
- Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
- Mining and visualising ordinal data with non-parametric continuous BBNs
- Kendall's tau and Spearman's rho for \(n\)-dimensional Archimedean copulas and their asymptotic properties
- A multivariate version of Hoeffding's phi-square
- Testing for equality between conditional copulas given discretized conditioning events
- On a new goodness-of-fit process for families of copulas
- The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
- Tie-Break Bootstrap for Nonparametric Rank Statistics
- scientific article; zbMATH DE number 1194431 (Why is no real title available?)
- Copulae: an overview and recent developments
- Quantifying directed dependence via dimension reduction
- Understanding directional dependence through angular correlation
- New semiparametric and nonparametric bootstrap tests for Spearman's rho
- Nonparametric estimation of the multivariate Spearman's footrule: a further discussion
- Euclidean Distance Matrix Completion and Point Configurations from the Minimal Spanning Tree
- Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
- Parametric dependence between random vectors via copula-based divergence measures
- An application of copulas to OPEC’s changing influence on fossil fuel prices
- Empirical likelihood based confidence regions for functional of copulas
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