Article ID Journal Published Year Pages File Type
1151631 Statistics & Probability Letters 2016 10 Pages PDF
Abstract

Schmid and Schmidt (2007) proposed copula-based nonparametric estimators for some multivariate extensions of Spearman’s rho. In this paper, we show that two of those estimators are inappropriate since they can take values out of the parameter space and we discuss alternative proposals.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho
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