Work

Nonparametric estimation of the multivariate Spearman's footrule: A further discussion

Year: 2023

Type: article

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.

Source: Fuzzy Sets and Systems

DOI: 10.1016/j.fss.2023.02.010

Authors: Ana Pérez, Mercedes Prieto-Alaiz, Fernando Chamizo, Eckhard Liebscher, Manuel Úbeda-Flores

Institutions: Universidad de Valladolid, Institute of Mathematical Sciences, Universidad Autónoma de Madrid, Merseburg University of Applied Sciences, University of Almería

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,600

Funders: Ministerio de Ciencia, Innovación y Universidades, Ministerio de Ciencia e Innovación