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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.

MSC:

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

Software:

QRM
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References:

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[7] Segers J., Weak Convergence of Empirical Copula Processes under Nonrestrictive Smoothness Assumptions (2010)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.