A MULTIVARIATE VERSION OF KENDALLS-TAU

Authors
CHOI K MARDEN J
Citation
K. Choi et J. Marden, A MULTIVARIATE VERSION OF KENDALLS-TAU, Journal of nonparametric statistics (Print), 9(3), 1998, pp. 261-293
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of nonparametric statistics (Print) → ACNP
ISSN journal
10485252
Volume
9
Issue
3
Year of publication
1998
Pages
261 - 293
Database
ISI
SICI code
1048-5252(1998)9:3<261:AMVOK>2.0.ZU;2-P
Abstract
A multivariate version of Kendall's tau 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 goad efficiency and robustness properties relative to t he usual least squares procedures.