Jackknife empirical likelihood intervals for Spearman’s rho. (English) Zbl 1291.62117

Summary: In connection with copulas, rank correlation such as Kendall’s tau and Spearman’s rho has been employed in risk management for summarizing dependence between two variables and estimating parameters in bivariate copulas and elliptical models. In this paper a jackknife empirical likelihood method is proposed to construct confidence intervals for Spearman’s rho without estimating the asymptotic variance. A simulation study confirms the advantages of the proposed method.


62H20 Measures of association (correlation, canonical correlation, etc.)
62F40 Bootstrap, jackknife and other resampling methods
62F25 Parametric tolerance and confidence regions
62P05 Applications of statistics to actuarial sciences and financial mathematics


Full Text: DOI


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