On asymptotic efficiency of multivariate version of Spearman's rho
Probability
2009-06-08 v1 Statistics Theory
Statistics Theory
Abstract
A multivariate version of Spearman's rho for testing independence is considered. Its asymptotic efficiency is calculated under a general distribution model specified by the dependence function. The efficiency comparison study that involves other multivariate Spearman-type test statistics is made. Conditions for Pitman optimality of the test are established. Examples that illustrate the quality of the multivariate Spearman's test are included.
Keywords
Cite
@article{arxiv.0906.1059,
title = {On asymptotic efficiency of multivariate version of Spearman's rho},
author = {Alexander Nazarov and Natalia Stepanova},
journal= {arXiv preprint arXiv:0906.1059},
year = {2009}
}
Comments
18 pages