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The Asymptotic Efficacies and Relative Efficiencies of Various Linear Rank Tests for Independence

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Abstract

In this paper we consider eight general models of independence, the Hájek–Šidák model, the Janssen–Mason model, Konijn’s model, Steffensen’s model, the Farlie model, the bivariate Gamma distribution, the Mardia model and the Frechet model. The asymptotic efficacies and relative efficiencies of various linear rank tests are computed. It turns out that the asymptotic power depends heavily on the underlying model. However, for the vast majority of considered models, the Spearman test is, asymptotically, a good choice.

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Authors and Affiliations

  1. Institut für Informatik, Humboldt-Universität zu Berlin, Rudower Chaussee 25, 12489, Berlin, Germany

    Wolfgang Kössler & Egmar Rödel

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  1. Wolfgang Kössler
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  2. Egmar Rödel
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Correspondence to Wolfgang Kössler.

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Kössler, W., Rödel, E. The Asymptotic Efficacies and Relative Efficiencies of Various Linear Rank Tests for Independence. Metrika 65, 3–28 (2007). https://doi.org/10.1007/s00184-006-0055-x

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