A note on nonparametric estimation of copula-based multivariate extensions of Spearman's rho

DOI10.1016/j.spl.2016.01.015zbMath1383.62173OpenAlexW2253695748MaRDI QIDQ273774

Ana Pérez, Mercedes Prieto-Alaiz

Publication date: 22 April 2016

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

Full work available at URL: http://uvadoc.uva.es/handle/10324/21566

zbMATH Keywords

empirical copulaGaussian copulaSpearman's rhoClayton copulamultivariate concordance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (3)

Stochastic representation of FGM copulas using multivariate Bernoulli random variables ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ On the specification of multivariate association measures and their behaviour with increasing dimension

Cites Work

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• Common factors in conditional distributions for bivariate time series
• Directional dependence in multivariate distributions
• An introduction to copulas.
• Multivariate extensions of Spearman's rho and related statistics
• Multivariate concordance
• A new index to measure positive dependence in trivariate distributions
• Nonparametric estimation of copula-based measures of multivariate association from contingency tables

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