Bayesian estimation of Kendall's using a latent normal approach

DOI10.1016/J.SPL.2018.10.004MaRDI QIDQ1726799zbMATH OpenOpenAlexFDO

Authors Johnny van Doorn, Alexander Ly, Maarten Marsman, Eric-Jan Wagenmakers

Publication date 20 February 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.01805, https://ir.cwi.nl/pub/28079

zbMATH Keywords

rank correlationsemi-parametric inference

Mathematics Subject Classification ID

Point estimation (62F10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: The rank-based association between two variables can be modeled by introducing a latent normal level to ordinal data. We demonstrate how this approach yields Bayesian inference for Kendall's rank correlation coefficient, improving on a recent Bayesian solution from asymptotic properties of the test statistic.

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Cited in

(2)

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