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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp5317https://doi.org/10.4213/tvp5317 https://www.mathnet.ru/eng/tvp/v68/i1/p133
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Abstract page: | 84 | Full-text PDF : | 9 | References: | 22 | First page: | 5 |
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