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Title:

On the power of Chatterjee’s rank correlation

Document type:
Zeitschriftenaufsatz
Author(s):
Shi, Hongjian; Drton, Mathias; Han, Fang
Abstract:
Chatterjee (2021) introduced a simple new rank correlation coefficient that has attracted much attention recently. The coefficient has the unusual appeal that it not only estimates a population quantity first proposed by Dette et al. (2013) that is zero if and only if the underlying pair of random variables is independent, but also is asymptotically normal under independence. This paper compares Chatterjee’s new correlation coefficient with three established rank correlations that also facilitat...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Biometrika
Year:
2022
Journal volume:
109
Year / month:
2022-06
Quarter:
2. Quartal
Month:
Jun
Journal issue:
2
Pages contribution:
317-333
Language:
en
Fulltext / DOI:
doi:10.1093/biomet/asab028
Publisher:
Oxford University Press (OUP)
Print-ISSN:
0006-3444
E-ISSN:
1464-3510
Notes:
published online October 10, 2021
Status:
Verlagsversion / published
Date of publication:
01.06.2022
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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