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Teoriya Veroyatnostei i ee Primeneniya, 2023, Volume 68, Issue 1, Pages 133–146
DOI: https://doi.org/10.4213/tvp5317 (Mi tvp5317) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Asymptotic relative efficiency of the Kendall and Spearman correlation statistics

I. Pinelis

Department of Mathematical Sciences, Michigan Technological University, Houghton, MI, USA
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DOI: https://doi.org/10.4213/tvp5317
Abstract: A necessary and sufficient condition for Pitman's asymptotic relative efficiency of the Kendall and Spearman correlation statistics for the independence test to be $1$ is given, in terms of certain smoothness and nondegeneracy properties of the model. Corresponding easy-to-use and broadly applicable sufficient conditions are obtained. These conditions hold for most well-known models of dependence.
Keywords: asymptotic relative efficiency, correlation statistics, Kendall's statistic, Spearman's statistic, nonparametric tests, tests of independence, association function, models of dependence.
Received: 29.04.2019
Revised: 04.08.2022
Accepted: 29.09.2022
English version:
Theory of Probability and its Applications, 2023, Volume 68, Issue 1, Pages 111–122
DOI: https://doi.org/10.1137/S0040585X97T991313
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: I. Pinelis, “Asymptotic relative efficiency of the Kendall and Spearman correlation statistics”, Teor. Veroyatnost. i Primenen., 68:1 (2023), 133–146; Theory Probab. Appl., 68:1 (2023), 111–122
Citation in format AMSBIB
\Bibitem{Pin23}
\by I.~Pinelis
\paper Asymptotic relative efficiency of the Kendall and Spearman correlation statistics
\jour Teor. Veroyatnost. i Primenen.
\yr 2023
\vol 68
\issue 1
\pages 133--146
\mathnet{http://mi.mathnet.ru/tvp5317}
\crossref{https://doi.org/10.4213/tvp5317}
\transl
\jour Theory Probab. Appl.
\yr 2023
\vol 68
\issue 1
\pages 111--122
\crossref{https://doi.org/10.1137/S0040585X97T991313}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85166616418}
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  • https://doi.org/10.4213/tvp5317
  • https://www.mathnet.ru/eng/tvp/v68/i1/p133
    • This publication is cited in the following 1 articles:
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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