Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support

Petra Ornstein and Johan Lyhagen

PLOS ONE, 2016, vol. 11, issue 1, 1-7

Abstract: The asymptotic variance and distribution of Spearman’s rank correlation have previously been known only under independence. For variables with finite support, the population version of Spearman’s rank correlation has been derived. Using this result, we show convergence to a normal distribution irrespectively of dependence, and derive the asymptotic variance. A small simulation study indicates that the asymptotic properties are of practical importance.

Date: 2016
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0145595 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 45595&type=printable (application/pdf)

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:plo:pone00:0145595

DOI: 10.1371/journal.pone.0145595

Access Statistics for this article

More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().