New semiparametric and nonparametric bootstrap tests for Spearman's rho

Allison, J.S.; Swanepoel, J.W.H.

New semiparametric and nonparametric bootstrap tests for Spearman's rho

Date

2011

Authors

Allison, J.S.

Swanepoel, J.W.H.

Publisher

SASA

Abstract

In this paper we propose two bootstrap-based tests for Spearman's rho. The first is a semiparametric test based on copulas, while the second is a nonparametric test. The efficiency of the tests are investigated by means of a Monte-Carlo study. It is found that they perform very satisfactorily as far as size and power are concerned.

Keywords

Bootstrap, Copula, Spearman's rho

Citation

Allison, J.S. & Swanepoel, J.W.H. 2011. New semiparametric and nonparametric bootstrap tests for Spearman's rho. South African statistical journal, 45(1):29-40. [http://hdl.handle.net/10520/EJC99131]