Bayesian estimation of Kendall’s τ using a latent normal approach

Johnny van Doorn, Alexander Ly, Maarten Marsman and Eric-Jan Wagenmakers

Statistics & Probability Letters, 2019, vol. 145, issue C, 268-272

Abstract: The rank-based association between two variables can be modeled by introducing a latent normal level to ordinal data. We demonstrate how this approach yields Bayesian inference for Kendall’s τ, improving on a recent Bayesian solution based on its asymptotic properties.

Keywords: Semi-parametric inference; Rank correlation (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.10.004

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