Nonparametric estimation of the multivariate Spearman's footrule: A further discussion
Ana Pérez, Mercedes Prieto Alaiz, Fernando Chamizo, Eckhard Liebscher, Manuel Úbeda-Flores
Abstract
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.
Topics & Concepts
MathematicsEstimatorSpearman's rank correlation coefficientMultivariate statisticsOrthantStatisticsNonparametric statisticsRank correlationMultivariate analysisRank (graph theory)EconometricsApplied mathematicsCombinatoricsAdvanced Statistical Methods and ModelsFinancial Risk and Volatility ModelingStatistical Methods and Inference