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Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support

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  • Petra Ornstein
  • Johan Lyhagen

Abstract

The asymptotic variance and distribution of Spearman’s rank correlation have previously been known only under independence. For variables with finite support, the population version of Spearman’s rank correlation has been derived. Using this result, we show convergence to a normal distribution irrespectively of dependence, and derive the asymptotic variance. A small simulation study indicates that the asymptotic properties are of practical importance.

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  • Petra Ornstein & Johan Lyhagen, 2016. "Asymptotic Properties of Spearman’s Rank Correlation for Variables with Finite Support," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-7, January.
    • Handle: RePEc:plo:pone00:0145595
    DOI: 10.1371/journal.pone.0145595
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    Cited by:

    1. Denis Chetverikov & Daniel Wilhelm, 2023. "Inference for rank-rank regressions," IFS Working Papers WCWP23/23, Institute for Fiscal Studies.
    2. Denis Chetverikov & Daniel Wilhelm, 2023. "Inference for rank-rank regressions," CeMMAP working papers 23/23, Institute for Fiscal Studies.
    3. Denis Chetverikov & Daniel Wilhelm, 2023. "Inference for Rank-Rank Regressions," Papers 2310.15512, arXiv.org, revised Jul 2024.

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