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Robustness versus efficiency for nonparametric correlation measures.

Abstract

Nonparametric correlation measures at the Kendall and Spearman correlation are widely used in the behavioral sciences. These measures are often said to be robust, in the sense of being resistant to outlying observations. In this note we formally study their robustness by means of their influence functions. Since robustness of an estimator often comes at the price of a loss inprecision, we compute efficiencies at the normal model. A comparison with robust correlation measures derived from robust covariance matrices is made. We conclude that both Spearman and Kendall correlation measures combine good robustness properties with high efficiency.asymptotic variance; correlation; gross-error sensitivity; influence function; Kendall correlation; robustness; Spearman correlation;

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