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Comparing The Effectiveness Of Rank Correlation Statistics

  • Agostino Tarsitano


    (Dipartimento di Economia e Statistica, Università della Calabria)

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    Rank correlation is a fundamental tool to express dependence in cases in which the data are arranged in order. There are, by contrast, circumstances where the ordinal association is of a nonlinear type. In this paper we investigate the effectiveness of several measures of rank correlation. These measures have been divided into three classes: conventional rank correlations, weighted rank correlations, correlations of scores. Our findings suggest that none is systematically better than the other in all circumstances. However, a simply weighted version of the Kendall rank correlation coefficient provides plausible answers to many special situations where intercategory distances could not be considered on the same basis.

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    File Function: First version, 2009-04
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    Paper provided by Università della Calabria, Dipartimento di Economia, Statistica e Finanza (Ex Dipartimento di Economia e Statistica) in its series Working Papers with number 200906.

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    Length: 24 pages
    Date of creation: Apr 2009
    Date of revision:
    Handle: RePEc:clb:wpaper:200906
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