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
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author Ornstein, Petra
Lyhagen, Johan
author_facet Ornstein, Petra
Lyhagen, Johan
author_sort Ornstein, Petra
collection PubMed
description 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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spelling pubmed-47014242016-01-15 Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support Ornstein, Petra Lyhagen, Johan PLoS One Research Article 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. Public Library of Science 2016-01-05 /pmc/articles/PMC4701424/ /pubmed/26730491 http://dx.doi.org/10.1371/journal.pone.0145595 Text en © 2016 Ornstein, Lyhagen http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited
spellingShingle Research Article
Ornstein, Petra
Lyhagen, Johan
Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title_full Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title_fullStr Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title_full_unstemmed Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title_short Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support
title_sort asymptotic properties of spearman’s rank correlation for variables with finite support
topic Research Article
url 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
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