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New weighted rank correlation coefficients sensitive to agreement on top and bottom rankings

Coolen-Maturi, T.

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Abstract

Three new weighted rank correlation coefficients are proposed which are sensitive to both agreement on top and bottom rankings. The first one is based on the weighted rank correlation coefficient proposed by Maturi and Abdelfattah [13], the second and the third are based on the order statistics and the quantiles of the Laplace distribution, respectively. The limiting distributions of the new correlation coefficients under the null hypothesis of no association between the rankings are presented, and a summary of the exact and approximate quantiles for these coefficients is provided. A simulation study is performed to compare the performance of Kendall's tau, Spearman's rho, and the new weighted rank correlation coefficients in detecting the agreement on the top and the bottom rankings simultaneously. Finally, examples are given for illustration purposes, including a real data set from financial market indices.

Citation

Coolen-Maturi, T. (2016). New weighted rank correlation coefficients sensitive to agreement on top and bottom rankings. Journal of Applied Statistics, 43(12), 2261-2279. https://doi.org/10.1080/02664763.2016.1140726

Journal Article Type Article
Acceptance Date Jan 7, 2016
Online Publication Date Feb 7, 2016
Publication Date Sep 1, 2016
Deposit Date Jan 15, 2016
Publicly Available Date Feb 7, 2017
Journal Journal of Applied Statistics
Print ISSN 0266-4763
Electronic ISSN 1360-0532
Publisher Taylor and Francis Group
Peer Reviewed Peer Reviewed
Volume 43
Issue 12
Pages 2261-2279
DOI https://doi.org/10.1080/02664763.2016.1140726

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