Estimation of a Spearman-Type Multivariate Measure of Local Dependence

Sumaia A. Latif, Pedro A. Morettin

Abstract


A multivariate measure of local dependence written in terms of copulas is proposed, which if integrated, coincides with a population version of a multivariate global measure of Spearman's rho.  We propose nonparametric estimators of this measure  for independent sample data and also for time series data. Some properties of the estimators are derived. Simulations with different copulas and sample sizes were performed to assess the theoretical findings. Empirical applications are given for selected economic indexes of $166$ countries and for the returns of the DAX, CAC40 and FTSE indexes.

Full Text: PDF DOI: 10.5539/ijsp.v3n2p1

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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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