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Asymptotic properties of Spearman's rank correlation for variables with finite support
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.ORCID iD: 0000-0003-2930-8669
2016 (English)In: PLoS ONE, ISSN 1932-6203, E-ISSN 1932-6203, Vol. 11, no 1, e0145595Article in journal (Refereed) Published
Abstract [en]

The asymptotic variance and distribution of Spearman's rank correlation have previously been known only under independence. For variables with finite support, [1] has derived the population version of Spearman's rank correlation. Using her results, 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.

Place, publisher, year, edition, pages
2016. Vol. 11, no 1, e0145595
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Probability Theory and Statistics
Research subject
Statistics
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URN: urn:nbn:se:uu:diva-268658DOI: 10.1371/journal.pone.0145595ISI: 000367801400041PubMedID: 26730491OAI: oai:DiVA.org:uu-268658DiVA: diva2:878413
Available from: 2015-12-09 Created: 2015-12-09 Last updated: 2017-12-01Bibliographically approved

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