A consistent test of independence based on a sign covariance related to Kendall's tau
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Publication:2448720
DOI10.3150/13-BEJ514zbMATH Open1400.62091arXiv1007.4259MaRDI QIDQ2448720FDOQ2448720
Authors: Wicher Bergsma, Angelos Dassios 
Publication date: 5 May 2014
Published in: Bernoulli (Search for Journal in Brave)
Abstract: The most popular ways to test for independence of two ordinal random variables are by means of Kendall's tau and Spearman's rho. However, such tests are not consistent, only having power for alternatives with ``monotonic association. In this paper, we introduce a natural extension of Kendall's tau, called , which is non-negative and zero if and only if independence holds, thus leading to a consistent independence test. Furthermore, normalization gives a rank correlation which can be used as a measure of dependence, taking values between zero and one. A comparison with alternative measures of dependence for ordinal random variables is given, and it is shown that, in a well-defined sense, is the simplest, similarly to Kendall's tau being the simplest of ordinal measures of monotone association. Simulation studies show our test compares well with the alternatives in terms of average -values.
Full work available at URL: https://arxiv.org/abs/1007.4259
Recommendations
Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20)
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