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THE USE OF CORRELATION IN LARGE SAMPLES
Author(s) -
Moran P. A. P.
Publication year - 1979
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1979.tb01146.x
Subject(s) - mathematics , bivariate analysis , statistics , rank correlation , spearman's rank correlation coefficient , efficiency , correlation , rank (graph theory) , multivariate normal distribution , sample (material) , multivariate statistics , combinatorics , physics , geometry , thermodynamics , estimator
The asymptotic relative efficiency of Kendall's and Spearman's coefficients of rank correlation are considered for samples from a bivariate normal distribution and comments are made on the calculation of their variances. For large samples it is suggested that one should use mean values of the coefficients calculated by splitting the sample into a fairly large number of smaller samples. This reduces the amount of calculation required and the asymptotic relative efficiency of this procedure is found both for ρ= 0 and ρ≠ 0.