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Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho

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Abstract

Schmid and Schmidt (Stat Probab Lett 77:407–416, 2007) recently described multivariate extensions to the population and sample versions of Spearman’s rank correlation coefficient. In this paper, the asymptotic relative efficiency of tests for multivariate independence based on the latter measures are explicitly computed under many distributional scenarios based on copula models, which complement findings made by Stepanova (Math Methods Stat 12:197–217, 2003). New Spearman-type statistics based on the so-called Möbius decomposition of the empirical copula process and of the survival copula process are also investigated in the light of their asymptotic relative efficiencies.

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  1. Université du Québec à Trois-Rivières, Trois-Rivières, G9A 5H7, Canada

    Jean-François Quessy

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  1. Jean-François Quessy
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Correspondence to Jean-François Quessy.

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Quessy, JF. Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho. Metrika 70, 315–338 (2009). https://doi.org/10.1007/s00184-008-0194-3

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  • DOI: https://doi.org/10.1007/s00184-008-0194-3

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