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A multivariate version of kendall's τ
Authors:
K. Chop a;
J. Marden a
| Affiliation: | a Department of Mathematics, Hong IK University, Korea |
DOI:
10.1080/10485259808832746
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
A multivariate version of Kendall's τ that is based on multivariate sign statistics is discussed. It has a nice visual interpretation and is easy to calculate. Tests of independence based on the statistic are shown to have good efficiency and robustness properties relative to the usual least squares procedures.
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| Keywords: Kendall's tau; multivariate signs; multiple regression; rank tests |
| view references (16) |
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