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Robustness versus Efficiency for Nonparametric Correlation Measures

Christophe Croux and Catherine Dehon ()

No 2008_002, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Nonparametric correlation measures at the Kendall and Spearman correlation are widely used in the behavioral sciences. These measures are often said to be robust, in the sense of being resistant to outlying observations. In this note we formally study their robustness by means of their infuence functions. Since robustness of an estimator often comes at the price of a loss in precision, we compute effciencies at the normal model. A comparison with robust correlation measures derived from robust covariance matrices is made. We conclude that both Spearman and Kendall correlation measures combine good robustness properties with high effciency.

Keywords: Asymptotic Variance; Correlation; Gross-Error Sensitivity; Infuence function; Kendall correlation; Robustness; Spearman correlation. (search for similar items in EconPapers)
Pages: 25 p.
Date: 2008
New Economics Papers: this item is included in nep-ecm
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