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New weighted rank correlation coefficients sensitive to agreement on top and bottom rankings

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  • Tahani Coolen-Maturi

Abstract

Three new weighted rank correlation coefficients are proposed which are sensitive to both agreement on top and bottom rankings. The first one is based on the weighted rank correlation coefficient proposed by Maturi and Abdelfattah [13], the second and the third are based on the order statistics and the quantiles of the Laplace distribution, respectively. The limiting distributions of the new correlation coefficients under the null hypothesis of no association between the rankings are presented, and a summary of the exact and approximate quantiles for these coefficients is provided. A simulation study is performed to compare the performance of Kendall's tau, Spearman's rho, and the new weighted rank correlation coefficients in detecting the agreement on the top and the bottom rankings simultaneously. Finally, examples are given for illustration purposes, including a real data set from financial market indices.

Suggested Citation

  • Tahani Coolen-Maturi, 2016. "New weighted rank correlation coefficients sensitive to agreement on top and bottom rankings," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(12), pages 2261-2279, September.
    • Handle: RePEc:taf:japsta:v:43:y:2016:i:12:p:2261-2279
    DOI: 10.1080/02664763.2016.1140726
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    1. Meintanis, Simos G. & Iliopoulos, George, 2008. "Fourier methods for testing multivariate independence," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1884-1895, January.
    2. Nam, Seung Oh & Kim, Hyun Kyung & Kim, Byung Chun, 2010. "An alternative approach to evaluating the agreement between financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 13-35, February.
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    4. Júlia Teles, 2012. "Concordance coefficients to measure the agreement among several sets of ranks," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(8), pages 1749-1764, March.
    5. Tahani Coolen-Maturi, 2014. "A new weighted rank coefficient of concordance," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(8), pages 1721-1745, August.
    6. Shieh, Grace S., 1998. "A weighted Kendall's tau statistic," Statistics & Probability Letters, Elsevier, vol. 39(1), pages 17-24, July.
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