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arXiv · 0906.1059

On asymptotic efficiency of multivariate version of Spearman's rho

Alexander Nazarov·Natalia Stepanova
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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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Alexander Nazarov, Natalia Stepanova. 2009-06-05. On asymptotic efficiency of multivariate version of Spearman's rho. https://arxiv.org/abs/0906.1059

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