Xu Weichao
教授

Gender:Male

Date of Birth:1970-04-26

Alma Mater:The University of Hong Kong

Education Level:PhD

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Honors and Titles:

广东工业大学优秀班主任

2019年度广东省自然科学奖二等奖

广东工业大学先进工作者

广东工业大学优秀教学成果二等奖

广东工业大学优秀教学成果一等奖

MOBILE Version

Paper Publications

A comparative analysis of Spearman's rho and Kendall's tau in normal and contaminated normal models

Release time:2021-11-07 Hits:

Journal:Signal Processing

Key Words:Bivariate normal Correlation theory Kendall’s tau Pearson’s product moment correlation coefficient Spearman’s rho

Abstract:This paper analyzes the performances of Spearman’s rho (SR) and Kendall’s tau (KT) with respect to samples drawn from bivariate normal and contaminated normal populations. Theoretical and simulation results suggest that, contrary to the opinion of equivalence between SR and KT in some literature, the behaviors of SR and KT are strikingly different in the aspects of bias effect, variance, mean square error (MSE), and asymptotic relative efficiency (ARE). The new findings revealed in this work provide not only deeper insights into the two most widely used rank-based correlation coefficients, but also a guidance for choosing which one to use under the circumstances where Pearson’s product moment correlation coefficient (PPMCC) fails to apply.

Co-author:Y.S. Hung,侯云鹤

First Author:徐维超

Indexed by:Journal paper

Volume:93

Page Number:261-276

Translation or Not:no

Date of Publication:2012-08-14

Included Journals:SCI

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