Multivariate Extensions of Spearman's Rho and Related Statistics
By Friedrich Schmid, Rafael Schmidt. 2007
182 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/8cc42c9344642c1ddce0eb538402c6d10419076a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Fabrizio Durante
- G. Salvadori
- Martin Ruppert
- Sandra Gaißer
- Friedrich Schmid
- Piotr Jaworski
- Rafael Schmidt
- Christian Genest
In Statistics and Probability
- Martin Ruppert
- Sandra Gaißer
- Fabrizio Durante
- Friedrich Schmid
- Rafael Schmidt
- G. Salvadori
- Christian Genest
- Thomas Blumentritt
Citations in the corpus
- A multivariate version of Hoeffding's Phi-Square (2010, methodology): “…measure of association Copula Nonparametric estimation Empirical copula process Weak convergence Nonparametric bootstrap Strong mixing a b s t r a c t A multivariate measure of association is proposed, which extends the bivariate copulabased measure Phi-Square introduced by Hoeffding [22].”
- On the empirical multilinear copula process for count data (2014, background): “The latter paper also considers several dvariate extensions of ρn which mimic the multivariate versions of these coefficients for continuous data proposed by Schmid and Schmidt [17].”
- Spatial contagion between financial markets: a copula-based approach (2010, methodology): “Gn(Yi)) ∈ [�1,�2] × [�1,�2]. Moreover, as done in [ 40, Theorem 3 ], p N”
- On the construction of multivariate extreme value models via copulas (2009, background): “These models have quite a few distinguished properties: (1) a suitable number of parameters can be considered, a feature of great importance in applications; (2) the parameters can be interpreted in terms of new multivariate measures of association and/or dependence (Nelsen, 1996; Schmid and Schmidt”
- Copula-Based Measures of Multivariate Association (2010, methodology): “Schmid and Schmidt [94]):”
- Multivariate spearman's ρ for aggregating ranks using copulas (2016, background): “Both generalisations are equivalent in the bivariate case, and has been called ρ−d and ρ + d by Nelsen (1996) and ρ1 and ρ2 by Schmid and Schmidt (2007) respectively.”