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

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...

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Main Authors: Petra Ornstein, Johan Lyhagen
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2016-01-01
Series:PLoS ONE
Online Access:http://europepmc.org/articles/PMC4701424?pdf=render
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spelling doaj-5ffd9f02eabe4cfbb270df6366355d0c2020-11-25T02:28:58ZengPublic Library of Science (PLoS)PLoS ONE1932-62032016-01-01111e014559510.1371/journal.pone.0145595Asymptotic Properties of Spearman's Rank Correlation for Variables with Finite Support.Petra OrnsteinJohan LyhagenThe 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.http://europepmc.org/articles/PMC4701424?pdf=render
collection DOAJ
language English
format Article
sources DOAJ
author Petra Ornstein
Johan Lyhagen
spellingShingle Petra Ornstein
Johan Lyhagen
Asymptotic Properties of Spearman's Rank Correlation for Variables with Finite Support.
PLoS ONE
author_facet Petra Ornstein
Johan Lyhagen
author_sort Petra Ornstein
title 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_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_sort asymptotic properties of spearman's rank correlation for variables with finite support.
publisher Public Library of Science (PLoS)
series PLoS ONE
issn 1932-6203
publishDate 2016-01-01
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.
url http://europepmc.org/articles/PMC4701424?pdf=render
work_keys_str_mv AT petraornstein asymptoticpropertiesofspearmansrankcorrelationforvariableswithfinitesupport
AT johanlyhagen asymptoticpropertiesofspearmansrankcorrelationforvariableswithfinitesupport
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