Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support

The asymptotic variance and distribution of Spearman’s rank correlation have previously been known only under independence. For variables with finite support, the population version of Spearman’s rank correlation has been derived. Using this result, we show convergence to a normal distribution irres...

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Detalles Bibliográficos
Autores principales: Ornstein, Petra, Lyhagen, Johan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2016
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4701424/
https://www.ncbi.nlm.nih.gov/pubmed/26730491
http://dx.doi.org/10.1371/journal.pone.0145595
Descripción
Sumario:The asymptotic variance and distribution of Spearman’s rank correlation have previously been known only under independence. For variables with finite support, the population version of Spearman’s rank correlation has been derived. Using this result, we show convergence to a normal distribution irrespectively of dependence, and derive the asymptotic variance. A small simulation study indicates that the asymptotic properties are of practical importance.

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