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 distribu...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2016-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC4701424?pdf=render |
| Summary: | 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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| ISSN: | 1932-6203 |