ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS
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.
Theory of Probability and its Applications
ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS.
Theory of Probability and its Applications,
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p2/74