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Simultaneous inference for Kendall’s tau

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  • Nowak, Claus P.
  • Konietschke, Frank

Abstract

We introduce multiple contrast tests and simultaneous confidence intervals for rank correlation measures in general multivariate factorial designs. To this end, we derive the unconditional asymptotic joint sampling distribution of multiple correlation coefficients under the null and arbitrary alternatives. We neither require distributions to be discrete nor continuous and adjust for ties using a normalized version of the bivariate distribution function and scale point estimators appropriately to obtain Kendall’s τA and τB, Somers’ D, and Goodman and Kruskal’s γ. Simulation studies for a range of scenarios indicate that the proposed methods control the family wise error rate in the strong sense even when sample sizes are rather small. A case study on the iris flower data set demonstrates how to perform inference in practice.

Suggested Citation

  • Nowak, Claus P. & Konietschke, Frank, 2021. "Simultaneous inference for Kendall’s tau," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
    • Handle: RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000452
    DOI: 10.1016/j.jmva.2021.104767
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    References listed on IDEAS

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    1. Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
    2. Gunawardana, Asanka & Konietschke, Frank, 2019. "Nonparametric multiple contrast tests for general multivariate factorial designs," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 165-180.
    3. Edgar Brunner & Frank Konietschke & Markus Pauly & Madan L. Puri, 2017. "Rank-based procedures in factorial designs: hypotheses about non-parametric treatment effects," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1463-1485, November.
    4. Manuela Schreyer & Roland Paulin & Wolfgang Trutschnig, 2017. "On the exact region determined by Kendall's τ and Spearman's ρ," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 613-633, March.
    5. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2003. "Kendall distribution functions," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 263-268, November.
    6. Munzel, Ullrich, 1999. "Linear rank score statistics when ties are present," Statistics & Probability Letters, Elsevier, vol. 41(4), pages 389-395, February.
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