Title

ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS

Document Type

Article

Publication Date

1-1-2023

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

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