Nonparametric estimation of the multivariate Spearman's footrule: a further discussion
Fuente:
arXiv
Saved in:
| Main Authors: | , , , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866910968302272512 |
|---|---|
| author | Pérez, Ana Prieto-Alaiz, Mercedes Chamizo, Fernando Liebscher, Eckhard Úbeda-Flores, Manuel |
| author_facet | Pérez, Ana Prieto-Alaiz, Mercedes Chamizo, Fernando Liebscher, Eckhard Úbeda-Flores, Manuel |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_07665 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Nonparametric estimation of the multivariate Spearman's footrule: a further discussion Pérez, Ana Prieto-Alaiz, Mercedes Chamizo, Fernando Liebscher, Eckhard Úbeda-Flores, Manuel Statistics Theory Probability 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. |
| title | Nonparametric estimation of the multivariate Spearman's footrule: a further discussion |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2501.07665 |