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Title: A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho
Authors: Pérez, Ana
Prieto Alaiz, María Mercedes
Issue Date: 2016
Description: Producción Científica
Citation: Statistics and Probability Letters, 2016, vol. 112, p. 41–50
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.
Keywords: Clayton copula
Gaussian copula
ISSN: 0167-7152
Peer Review: SI
Sponsor: Ministerio de Economía, Industria y Competitividad (ECO2012-32178)
Ministerio de Economía, Industria y Competitividad (ECO2012-32401)
Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA066U13)
Publisher Version:
Language: eng
Rights: info:eu-repo/semantics/openAccess
Appears in Collections:DEP20 - Artículos de revista

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