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arXiv · 2501.07665

Nonparametric estimation of the multivariate Spearman's footrule: a further discussion

Ana Pérez·Mercedes Prieto-Alaiz·Fernando Chamizo·Eckhard Liebscher·Manuel Úbeda-Flores
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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.

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Ana Pérez, Mercedes Prieto-Alaiz, Fernando Chamizo, Eckhard Liebscher, Manuel Úbeda-Flores. 2025-01-13. Nonparametric estimation of the multivariate Spearman's footrule: a further discussion. https://doi.org/10.1016/j.fss.2023.02.010

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