The Pearsonian coefficient of correlation as a measure of association between two variates is highly prone to the deleterious effects of outlier observations (in data). Statisticians have proposed a number of formulas to obtain robust measures of correlation that are considered to be less affected by errors of observation, perturbation or presence of outliers. Spearman’s rho, Blomqvist’s signum, Bradley’s absolute r and Shevlyakov’s median correlation are some of such robust measures of correlation. However, in many applications, correlation matrices that satisfy the criterion of positive semi-definiteness are required. Our investigation finds that while Spearman’s rho, Blomqvist’s signum and Bradley’s absolute r make positive semi-definite correlation matrices, Shevlyakov’s median correlation very often fails to do that. The use of correlation matrices based on Shevlyakov’s formula, therefore, is problematic.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
15725.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: