ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS
Document Type
Article
Publication Date
2023
Department
Department of Mathematical Sciences
Abstract
A necessary and sufficient condition for Pitman’s asymptotic relative efficiency of the Kendall and Spearman correlation statistics for the independence test to be 1 is given, in terms of certain smoothness and nondegeneracy properties of the model. Corresponding easy-to-use and broadly applicable sufficient conditions are obtained. These conditions hold for most well-known models of dependence.
Publication Title
Theory of Probability and its Applications
Recommended Citation
Pinelis, I.
(2023).
ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS.
Theory of Probability and its Applications,
68(1), 111-122.
http://doi.org/10.1137/S0040585X97T991313
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p2/74
