A class of weighted rank correlation measures

Abstract

We propose a class of weighted rank correlation measures extending Spearman’s rho. This class consists of two types of measures. The first type that extends Blest’s rank correlation, places more emphasis on the agreement on top ranks. The second one places more emphasis on the agreement on the bottom ranks. The asymptotic distribution of the proposed measures and some of their properties are studied. A simulation study is performed to compare the performance of the proposed statistics for testing independence by using asymptotic relative efficiency calculations. 2010 AMS Mathematics Subject Classification: Primary: 01A23; Secondary: 45B67.