Universität zu Köln

Gaisser, Sandra and Schmid, Friedrich (2010). On testing equality of pairwise rank correlations in a multivariate random vector. J. Multivar. Anal., 101 (10). S. 2598 - 2616. SAN DIEGO: ELSEVIER INC. ISSN 0047-259X

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Abstract

Spearman's rank-correlation coefficient (also called Spearman's rho) represents one of the best-known measures to quantify the degree of dependence between two random variables. As a copula-based dependence measure, it is invariant with respect to the distribution's univariate marginal distribution functions. In this paper, we consider statistical tests for the hypothesis that all pairwise Spearman's rank correlation coefficients in a multivariate random vector are equal. The tests are nonparametric and their asymptotic distributions are derived based on the asymptotic behavior of the empirical copula process. Only weak assumptions on the distribution function, such as continuity of the marginal distributions and continuous partial differentiability of the copula, are required for obtaining the results. A nonparametric bootstrap method is suggested for either estimating unknown parameters of the test statistics or for determining the associated critical values. We present a simulation study in order to investigate the power of the proposed tests. The results are compared to a classical parametric test for equal pairwise Pearson's correlation coefficients in a multivariate random vector. The general setting also allows the derivation of a test for stochastic independence based on Spearman's rho. (c) 2010 Elsevier Inc. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Gaisser, Sandra UNSPECIFIED UNSPECIFIED UNSPECIFIED Schmid, Friedrich UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-493615
DOI:	10.1016/j.jmva.2010.07.008
Journal or Publication Title:	J. Multivar. Anal.
Volume:	101
Number:	10
Page Range:	S. 2598 - 2616
Date:	2010
Publisher:	ELSEVIER INC
Place of Publication:	SAN DIEGO
ISSN:	0047-259X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language OF-FIT TESTS; CORRELATION-COEFFICIENTS; SPEARMANS-RHO; COPULAS; INDEPENDENCE; DEPENDENCE; EFFICIENCY; CONTRASTS; VERSIONS; SET Multiple languages Statistics & Probability Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/49361