Influence functions of the Spearman and Kendall correlation measures

DOI10.1007/S10260-010-0142-ZzbMATH Open1332.62186OpenAlexW2048957655MaRDI QIDQ257584FDOQ257584

Catherine Dehon, Christophe Croux

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0142-z

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• scientific article; zbMATH DE number 1301948

zbMATH Keywords

correlationrobustnessinfluence functionasymptotic variancegross-error sensitivityKendall correlationSpearman correlation

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• A note on the comedian for elliptical distributions
• Robustness properties of dispersion estimators
• Sample size requirements for estimating Pearson, Kendall and Spearman correlations
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• Taux de résistance des tests de rang d'indépendance
• The variance of Spearman's rho in normal samples
• Title not available (Why is that?)
• On Some Useful "Inefficient" Statistics
• Inferences based on multiple skipped correlations

Cited In (41)

• The probabilistic support Kendall correlation and its transitivity properties
• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Improved methods for making inferences about multiple skipped correlations
• Robust variable selection with application to quality of life research
• Correlations in bivariate Pareto distributions
• Two symmetric and computationally efficient Gini correlations
• Hermiter: \textbf{R} package for sequential nonparametric estimation
• Robust sieve estimators for functional canonical correlation analysis
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• The influence function of Gini's gamma
• Robust distances for outlier-free goodness-of-fit testing
• High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
• Sparse regression for large data sets with outliers
• Development of a canonical correlation model involving non linearity and asymmetric variables
• Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical Data
• Influence function-based confidence intervals for the Kendall rank correlation coefficient
• Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
• The effects of additive outliers in INAR(1) process and robust estimation
• Robust estimation of (partial) autocorrelation
• Robust and sparse estimation of graphical models based on multivariate winsorization
• On the specification of multivariate association measures and their behaviour with increasing dimension
• Clustering of financial time series in risky scenarios
• TESTING FOR CHANGES IN KENDALL’S TAU
• Asymptotic expected sensitivity function and its applications to measures of monotone association
• A Rank Correlation Coefficient Resistant to Outliers
• Factor Analysis Revisited – How Many Factors are There?
• Spatial sign correlation
• Disjoint multipath closeness centrality
• Median and quantile conditional copulas
• Sequential estimation of Spearman rank correlation using Hermite series estimators
• Sensitivity and influence analysis of estimators of correlation coefficients
• Efficient and accurate inference for mixtures of Mallows models with Spearman distance
• Fast Robust Correlation for High-Dimensional Data
• Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices
• Kendall's correlation coefficient for vague preferences
• The Gaussian rank correlation estimator: robustness properties
• Spearman rank correlation of the bivariate Student \(t\) and scale mixtures of normal distributions
• Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures
• S_n covariance
• Error rates for multivariate outlier detection
• Symmetric Gini covariance and correlation

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