Robustness versus Efficiency for Nonparametric Correlation Measures
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References listed on IDEAS
- Genton, Marc G. & Ma, Yanyuan, 1999. "Robustness properties of dispersion estimators," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 343-350, October.
- Borkowf, Craig B., 2002. "Computing the nonnull asymptotic variance and the asymptotic relative efficiency of Spearman's rank correlation," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 271-286, May.
- Falk, Michael, 1998. "A Note on the Comedian for Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 306-317, November.
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Keywords
Asymptotic Variance; Correlation; Gross-Error Sensitivity; Infuence function; Kendall correlation; Robustness; Spearman correlation.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-10-21 (Econometrics)
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