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The influence function of Gini’s gamma

Author

Listed:
  • Claudio G. Borroni

    (University of Milano Bicocca (Italy))

  • D. Michele Cifarelli

    (Bocconi University (Italy))

Abstract

The influence function of Gini’s gamma (also known as Gini’s cograduation index) is derived. This function is shown to be bounded so as to claim that the considered measure is B-robust. After defining a Fisher consistent version of Gini’s gamma for the bivariate Normal model, a closer examination of the related influence function is given, by reporting its plot and by computing its gross error sensitivity. Finally, some results of a simulation study are reported to evaluate how robustness can be combined with efficiency for the considered measure.

Suggested Citation

  • Claudio G. Borroni & D. Michele Cifarelli, 2017. "The influence function of Gini’s gamma," METRON, Springer;Sapienza Università di Roma, vol. 75(1), pages 17-29, April.
    • Handle: RePEc:spr:metron:v:75:y:2017:i:1:d:10.1007_s40300-016-0103-x
    DOI: 10.1007/s40300-016-0103-x
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    References listed on IDEAS

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    1. Christophe Croux & Catherine Dehon, 2010. "Influence functions of the Spearman and Kendall correlation measures," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 497-515, November.
    2. Claudio Borroni, 2013. "A new rank correlation measure," Statistical Papers, Springer, vol. 54(2), pages 255-270, May.
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