On asymptotic efficiency of multivariate version of Spearman's rho

Details On asymptotic efficiency of multivariate version of Spearman's rho On asymptotic efficiency of multivariate version of Spearman's rho

2009-06-05

arxiv.org/abs/0906.1059v1

Mathematics

Probability

18 pages

Scientific paper

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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