Nonparametric estimation of the multivariate Spearman's footrule: a further discussion
Statistics Theory
2025-05-27 v3 Probability
Statistics Theory
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.
Keywords
Cite
@article{arxiv.2501.07665,
title = {Nonparametric estimation of the multivariate Spearman's footrule: a further discussion},
author = {Ana Pérez and Mercedes Prieto-Alaiz and Fernando Chamizo and Eckhard Liebscher and Manuel Úbeda-Flores},
journal= {arXiv preprint arXiv:2501.07665},
year = {2025}
}
Comments
The manuscript contained substantial mathematical errors that affect the main conclusions and require a thorough revision