Asymptotic Relative Efficiency of the Kendall and Spearman Correlation Statistics

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Theory of Probability and its Applications Pub Date : 2023-05-01 DOI:10.1137/s0040585x97t991313

I. Pinelis

引用次数: 0

Abstract

A necessary and sufficient condition for Pitman's asymptotic relative efficiency of the Kendall and Spearman correlation statistics for the independence test to be $1$ is given, in terms of certain smoothness and nondegeneracy properties of the model. Corresponding easy-to-use and broadly applicable sufficient conditions are obtained. These conditions hold for most well-known models of dependence.

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Kendall和Spearman相关统计量的渐近相对效率

根据模型的一定光滑性和非退化性，给出了Kendall和Spearman相关统计量的Pitman渐近相对效率使独立性检验为$1$的充分必要条件。得到了相应的易于使用和广泛适用的充分条件。这些条件适用于大多数著名的依赖模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Theory of Probability and its Applications 数学-统计学与概率论

CiteScore

1.00

自引率

16.70%

发文量

审稿时长

6 months

期刊介绍： Theory of Probability and Its Applications (TVP) accepts original articles and communications on the theory of probability, general problems of mathematical statistics, and applications of the theory of probability to natural science and technology. Articles of the latter type will be accepted only if the mathematical methods applied are essentially new.