On asymptotic efficiency of multivariate version of Spearman's rho
Alexander Nazarov, Natalia Stepanova
TL;DR
This paper analyzes the asymptotic efficiency of a multivariate Spearman's rho test for independence, compares it with other tests, and establishes conditions for its optimality under general dependence models.
Contribution
It introduces a multivariate Spearman's rho test, calculates its asymptotic efficiency, compares it with other tests, and determines conditions for Pitman optimality.
Findings
The multivariate Spearman's rho test has favorable asymptotic efficiency.
Conditions for Pitman optimality are established.
Examples demonstrate the test's effectiveness in various scenarios.
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.
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Taxonomy
TopicsAdvanced Statistical Methods and Models · Statistical Methods and Inference · Bayesian Methods and Mixture Models