Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho

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Abstract

We discuss jackknife Euclidean likelihood-based inference methods, with a special focus on the construction of confidence intervals for Spearman's rho. We show that a Wilks's theorem holds for jackknife Euclidean likelihood, and based on it we construct confidence intervals for Spearman's rho. In a simulation study we examine the performance of our method, and a fire insurance claims database is used for its illustration.
Original languageUnknown
Pages (from-to)487-492
JournalNorth American Actuarial Journal
Volume16
Issue number4
DOIs
Publication statusPublished - 1 Jan 2012

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