Confidence intervals for rank statistics: Somers' D and extensions

Roger Newson

Stata Journal, 2006, vol. 6, issue 3, 309-334

Abstract: Somers' D is an asymmetric measure of association between two variables, which plays a central role as a parameter behind rank or nonparametric statistical methods. Given predictor variable X and outcome variable Y, we may estimate D(YX) as a measure of the effect of X on Y, or we may estimate D(XY) as a performance indicator of X as a predictor of Y. The somersd package allows the estimation of Somers’ D and Kendall’s tau-a with confidence limits as well as p-values. The Stata 9 version of somersd can estimate extended versions of Somers' D not previously available, including the Gini index, the parameter tested by the sign test, and extensions to left- or right-censored data. It can also estimate stratified versions of Somers' D, restricted to pairs in the same stratum. Therefore, it is possible to define strata by grouping values of a confounder, or of a propensity score based on multiple confounders, and to estimate versions of Somers' D that measure the association between the outcome and the predictor, adjusted for the confounders. The Stata 9 version of somersd uses the Mata language for improved computational efficiency with large datasets. Copyright 2006 by StataCorp LP.

Keywords: somersd; Somers' D; Kendall’s tau-a; Harrell’s c; ROC area; Gini index; population-attributable risk; rank correlation; rank-sum test; Wilcoxon test; sign test; confidence intervals; nonparametric methods; propensity score (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (29)

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