Nonparametric estimation of the multivariate Spearman's footrule: A further discussion
Fuzzy Sets Syst.(2023)
摘要
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 , 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.& COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http:// creativecommons .org /licenses /by -nc -nd /4 .0/).
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关键词
Spearman's footrule,Multivariate association,Concordance,Copula,Orthant dependence,Pitman efficiency
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