Robust polychoric correlation

Johan Lyhagen and Petra Ornstein

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 10, 3241-3261

Abstract: The polychoric correlation is a parametric measure of the correlation between two unobserved continuous variables when the observed variables are discrete. In this paper we propose a robust version of the polychoric correlation. Robust polychoric correlation is shown to be consistent and asymptotically normal. Results from a systematic Monte Carlo simulation suggest that the new estimator has better robustness properties than normality based maximum likelihood estimation of the polychoric correlation, with negligible costs to efficiency.

Date: 2023
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DOI: 10.1080/03610926.2021.1970770

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