Simultaneous inference for Kendall’s tau

Claus P. Nowak and Frank Konietschke

Journal of Multivariate Analysis, 2021, vol. 185, issue C

Abstract: We introduce multiple contrast tests and simultaneous confidence intervals for rank correlation measures in general multivariate factorial designs. To this end, we derive the unconditional asymptotic joint sampling distribution of multiple correlation coefficients under the null and arbitrary alternatives. We neither require distributions to be discrete nor continuous and adjust for ties using a normalized version of the bivariate distribution function and scale point estimators appropriately to obtain Kendall’s τA and τB, Somers’ D, and Goodman and Kruskal’s γ. Simulation studies for a range of scenarios indicate that the proposed methods control the family wise error rate in the strong sense even when sample sizes are rather small. A case study on the iris flower data set demonstrates how to perform inference in practice.

Keywords: Confidence intervals; Contrasts; Multiple comparison test procedures; Empirical copulas (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X21000452
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000452

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2021.104767

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().