Asymptotic Relative Efficiency of the Kendall and Spearman Correlation Statistics

DOI10.1137/S0040585X97T991313MaRDI QIDQ6160488zbMATH OpenOpenAlexFDO

Authors Iosif Pinelis

Publication date 10 May 2023

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.01790

zbMATH Keywords

association functionasymptotic relative efficiencycorrelation statisticsKendall's statisticmodels of dependencenonparametric testsSpearman's statistictests of independence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Abstract: A necessary and suffcient condition for Pitman's asymptotic relative effciency (ARE) 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, which are then illustrated on several known models of dependence. Effects of the presence or absence of the smoothness and/or nondegeneracy parts of the mentioned necessary and suffcient condition are demonstrated using certain specially constructed dependence models. A more general (than usual) version of Pitman's ARE is developed, with broader and easier to check conditions of applicability. This version of the ARE, which is then used in the rest of the paper, may also be of value elsewhere.

Cites work

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Cited in

(5)

• Smooth extensions of Pearsons's product moment correlation and Spearman's rho
• Independence criteria based on generalized correlation coefficients and their asymptotic efficiency
• On the comparison of the Spearman and Kendall metrics between linear orders.
• scientific article; zbMATH DE number 4086785 (Why is no real title available?)
• Pattern-based tests for two-dimensional copulas

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