COMPARING THE EFFECTIVENESS OF RANK CORRELATION STATISTICS

Agostino Tarsitano ()
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Agostino Tarsitano: Dipartimento di Economia e Statistica, Università della Calabria

No 200906, Working Papers from Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF

Abstract: Rank correlation is a fundamental tool to express dependence in cases in which the data are arranged in order. There are, by contrast, circumstances where the ordinal association is of a nonlinear type. In this paper we investigate the effectiveness of several measures of rank correlation. These measures have been divided into three classes: conventional rank correlations, weighted rank correlations, correlations of scores. Our findings suggest that none is systematically better than the other in all circumstances. However, a simply weighted version of the Kendall rank correlation coefficient provides plausible answers to many special situations where intercategory distances could not be considered on the same basis.

Keywords: Ordinal Data; Nonlinear Association; Weighted Rank Correlation (search for similar items in EconPapers)
Pages: 24 pages
Date: 2009-04
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:clb:wpaper:200906

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