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Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model
This paper investigates the robustness properties of Pearson's rank-variate correlation coefficient (PRVCC) in scenarios where one channel is corrupted by impulsive noise and the other is impulsive noise-free. As shown in our previous work, these scenarios that frequently encountered in radar a...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2014
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4230981/ https://www.ncbi.nlm.nih.gov/pubmed/25393286 http://dx.doi.org/10.1371/journal.pone.0112215 |
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author | Ma, Rubao Xu, Weichao Zhang, Yun Ye, Zhongfu |
author_facet | Ma, Rubao Xu, Weichao Zhang, Yun Ye, Zhongfu |
author_sort | Ma, Rubao |
collection | PubMed |
description | This paper investigates the robustness properties of Pearson's rank-variate correlation coefficient (PRVCC) in scenarios where one channel is corrupted by impulsive noise and the other is impulsive noise-free. As shown in our previous work, these scenarios that frequently encountered in radar and/or sonar, can be well emulated by a particular bivariate contaminated Gaussian model (CGM). Under this CGM, we establish the asymptotic closed forms of the expectation and variance of PRVCC by means of the well known Delta method. To gain a deeper understanding, we also compare PRVCC with two other classical correlation coefficients, i.e., Spearman's rho (SR) and Kendall's tau (KT), in terms of the root mean squared error (RMSE). Monte Carlo simulations not only verify our theoretical findings, but also reveal the advantage of PRVCC by an example of estimating the time delay in the particular impulsive noise environment. |
format | Online Article Text |
id | pubmed-4230981 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2014 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-42309812014-11-18 Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model Ma, Rubao Xu, Weichao Zhang, Yun Ye, Zhongfu PLoS One Research Article This paper investigates the robustness properties of Pearson's rank-variate correlation coefficient (PRVCC) in scenarios where one channel is corrupted by impulsive noise and the other is impulsive noise-free. As shown in our previous work, these scenarios that frequently encountered in radar and/or sonar, can be well emulated by a particular bivariate contaminated Gaussian model (CGM). Under this CGM, we establish the asymptotic closed forms of the expectation and variance of PRVCC by means of the well known Delta method. To gain a deeper understanding, we also compare PRVCC with two other classical correlation coefficients, i.e., Spearman's rho (SR) and Kendall's tau (KT), in terms of the root mean squared error (RMSE). Monte Carlo simulations not only verify our theoretical findings, but also reveal the advantage of PRVCC by an example of estimating the time delay in the particular impulsive noise environment. Public Library of Science 2014-11-13 /pmc/articles/PMC4230981/ /pubmed/25393286 http://dx.doi.org/10.1371/journal.pone.0112215 Text en © 2014 Ma et al http://creativecommons.org/licenses/by/4.0/ This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited. |
spellingShingle | Research Article Ma, Rubao Xu, Weichao Zhang, Yun Ye, Zhongfu Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title | Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title_full | Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title_fullStr | Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title_full_unstemmed | Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title_short | Asymptotic Properties of Pearson's Rank-Variate Correlation Coefficient under Contaminated Gaussian Model |
title_sort | asymptotic properties of pearson's rank-variate correlation coefficient under contaminated gaussian model |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4230981/ https://www.ncbi.nlm.nih.gov/pubmed/25393286 http://dx.doi.org/10.1371/journal.pone.0112215 |
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