Multivariate extensions of Spearman's rho and related statistics

DOI10.1016/J.SPL.2006.08.007zbMATH Open1108.62056OpenAlexW1981376632MaRDI QIDQ876985FDOQ876985

Rafael Schmidt, Friedrich Schmid

Publication date: 19 April 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.08.007

zbMATH Keywords

copulaempirical copulaweak convergenceasymptotic variancenonparametric bootstrapmultivariate measure of association

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Exchangeability for stochastic processes (60G09)

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Cited In (62)

• Nonparametric estimation of the multivariate Spearman's footrule: a further discussion
• Euclidean Distance Matrix Completion and Point Configurations from the Minimal Spanning Tree
• Parametric dependence between random vectors via copula-based divergence measures
• An application of copulas to OPEC’s changing influence on fossil fuel prices
• Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
• Copulae: an overview and recent developments
• The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Quantifying directed dependence via dimension reduction
• Empirical likelihood based confidence regions for functional of copulas
• Statistical arbitrage with vine copulas
• Measuring cumulative deprivation and affluence based on the diagonal dependence diagram
• On the multidimensional extension of countermonotonicity and its applications
• Understanding Directional Dependence Through Angular Correlation
• TCMI: a non-parametric mutual-dependence estimator for multivariate continuous distributions
• Mining and visualising ordinal data with non-parametric continuous BBNs
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives
• Nonparametric estimation of copula-based measures of multivariate association from contingency tables
• A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho
• Directional dependence in multivariate distributions
• Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)
• Single-index copulas
• Extremal dependence concepts
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• Mutual information as a measure of multivariate association: analytical properties and statistical estimation
• On the strong approximation of bootstrapped empirical copula processes with applications
• Extensions to the Cochran-Mantel-Haenszel mean scores and correlation tests
• A measure of multivariate mutual complete dependence
• Bias in rank correlation under mixture models
• On the specification of multivariate association measures and their behaviour with increasing dimension
• Stochastic representation of FGM copulas using multivariate Bernoulli random variables
• Ranking ranks: a ranking algorithm for bootstrapping from the empirical copula
• Testing the constancy of Spearman's rho in multivariate time series
• Smooth extensions of Pearsons's product moment correlation and Spearman's rho
• Title not available (Why is that?)
• Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance
• Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties
• A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests
• Copulas with maximum entropy
• Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
• Local Power Analyses of Goodness‐of‐fit Tests for Copulas
• A measure of mutual complete dependence in discrete variables through subcopula
• On a new goodness-of-fit process for families of copulas
• Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
• Approximate Bayesian conditional copulas
• Tests of Multivariate Independence for Ordinal Data
• On the empirical multilinear copula process for count data
• Testing for equality between conditional copulas given discretized conditioning events
• Conditional empirical copula processes and generalized measures of association
• Spatial contagion between financial markets: a copula-based approach
• Empirical and sequential empirical copula processes under serial dependence
• Copula-based dependence measures
• A framework for robust measurement of implied correlation
• Measuring association and dependence between random vectors
• On testing equality of pairwise rank correlations in a multivariate random vector
• A multivariate version of Hoeffding's phi-square
• A multivariate dependence measure for aggregating risks
• An extremal problem with applications to the problem of testing multivariate independence
• Negative dependence concept in copulas and the marginal free herd behavior index
• Dependence of Stock Returns in Bull and Bear Markets
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence

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