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Assessment of Performance of Correlation Estimates in Discrete Bivariate Distributions using Bootstrap Methodology

Michail Tsagris, Ioannis Elmatzoglou and Christos Frangos

MPRA Paper from University Library of Munich, Germany

Abstract: Little attention has been given to the correlation coefficient when data come from discrete or continuous non-normal populations. In this article, we consider the efficiency of two correlation coefficients which are from the same family, Pearson's and Spearman's estimators. Two discrete bivariate distributions were examined: the Poisson and the Negative Binomial. The comparison between these two estimators took place using classical and bootstrap techniques for the construction of confidence intervals. Thus, these techniques are also subject to comparison. Simulation studies were also used for the relative efficiency and bias of the two estimators. Pearson's estimator performed slightly better than Spearman's.

Keywords: Bivariate; Bootstrap; Correlation (search for similar items in EconPapers)
JEL-codes: C40 C46 (search for similar items in EconPapers)
Date: 2012-01-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Communications in Statistics - Theory and Methods 1.41(2012): pp. 138-152

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