ASYMPTOTIC RELATIVE EFFICIENCY OF THE KENDALL AND SPEARMAN CORRELATION STATISTICS

被引：0

作者：

Pinelis, I. ^{[1
]}

机构：

[1] Michigan Technol Univ, Dept Math Sci, Houghton, MI 49931 USA

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2023年 / 68卷 / 01期

关键词：

asymptotic relative efficiency; correlation statistics; Kendall's statistic; Spearman's statistic; nonparametric tests; tests of independence; association function; models of dependence;

D O I：

10.1137/S0040585X97T991313

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：111 / 122

页数：12

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