期刊
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
卷 84, 期 4, 页码 781-797出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/00949655.2012.727186
关键词
Spearman's rho; Kendall's tau; copula density; aggregated observations; ordinal observations; checkerboard copula; standard extension copula
Nonparametric estimation of copula-based measures of multivariate association in a continuous random vector X = (X-1,...,X-d) is usually based on complete continuous data. In many practical applications, however, these types of data are not readily available; instead aggregated ordinal observations are given, for example, ordinal ratings based on a latent continuous scale. This article introduces a purely nonparametric and data-driven estimator of the unknown copula density and the corresponding copula based on multivariate contingency tables. Estimators for multivariate Spearman's rho and Kendall's tau are based thereon. The properties of these estimators in samples of medium and large size are evaluated in a simulation study. An increasing bias can be observed along with an increasing degree of association between the components. As it is to be expected, the bias is severely influenced by the amount of information available. Additionally, the influence of sample size is only marginal. We further give an empirical illustration based on daily returns of five German stocks.
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