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Influence functions of the Spearman and Kendall correlation measures

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  • Christophe Croux

    ()

  • Catherine Dehon

    ()

Abstract

Mathematics Subject Classification (2000) 62G35 · 62F99

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File URL: http://hdl.handle.net/10.1007/s10260-010-0142-z
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Bibliographic Info

Article provided by Springer in its journal Statistical Methods & Applications.

Volume (Year): 19 (2010)
Issue (Month): 4 (November)
Pages: 497-515

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Handle: RePEc:spr:stmapp:v:19:y:2010:i:4:p:497-515

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Related research

Keywords: Asymptotic variance; Correlation; Gross-error sensitivity; Influence function; Kendall correlation; Robustness; Spearman correlation; 65G35; 62F99;

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References

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  1. Stephan Morgenthaler, 2007. "A survey of robust statistics," Statistical Methods and Applications, Springer, vol. 16(1), pages 171-172, June.
  2. Ingram Olkin & Adi Raveh, 2009. "Bounds for how much influence an observation can have," Statistical Methods and Applications, Springer, vol. 18(1), pages 1-11, March.
  3. Genton, Marc G. & Ma, Yanyuan, 1999. "Robustness properties of dispersion estimators," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 343-350, October.
  4. Stephan Morgenthaler, 2007. "A survey of robust statistics," Statistical Methods and Applications, Springer, vol. 15(3), pages 271-293, February.
  5. Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2007. "Robust Linear Model Selection Based on Least Angle Regression," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1289-1299, December.
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Cited by:
  1. Cerioli, Andrea & Farcomeni, Alessio & Riani, Marco, 2013. "Robust distances for outlier-free goodness-of-fit testing," Computational Statistics & Data Analysis, Elsevier, vol. 65(C), pages 29-45.
  2. Cerioli, Andrea & Farcomeni, Alessio, 2011. "Error rates for multivariate outlier detection," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 544-553, January.
  3. Agostino Tarsitano & Rosetta Lombardo, 2013. "A Coefficient of Correlation Based on Ratios of Ranks and Anti-ranks," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(2), pages 206-224, March.
  4. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  5. Dehling, Herold & Fried, Roland & Sharipov, Olimjon Sh. & Vogel, Daniel & Wornowizki, Max, 2013. "Estimation of the variance of partial sums of dependent processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 141-147.
  6. Andreas Alfons & Wolfgang Baaske & Peter Filzmoser & Wolfgang Mader & Roland Wieser, 2011. "Robust variable selection with application to quality of life research," Statistical Methods and Applications, Springer, vol. 20(1), pages 65-82, March.
  7. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
  8. Agostino Tarsitano & Rosetta Lombardo, 2011. "An Exhaustive Coefficient Of Rank Correlation," Working Papers 201111, Università della Calabria, Dipartimento di Economia, Statistica e Finanza (Ex Dipartimento di Economia e Statistica).
  9. Sonja Rieder, 2012. "Robust parameter estimation for the Ornstein–Uhlenbeck process," Statistical Methods and Applications, Springer, vol. 21(4), pages 411-436, November.

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