On the Kendall Correlation Coefficient

Alexei Stepanov

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arXiv · 1507.01427

On the Kendall Correlation Coefficient

Alexei Stepanov

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Abstract

In the present paper, we first discuss the Kendall rank correlation coefficient. In continuous case, we define the Kendall rank correlation coefficient in terms of the concomitants of order statistics, find the expected value of the Kendall rank correlation coefficient and show that the later is free of n. We also prove that in continuous case the Kendall correlation coefficient converges in probability to its expected value. We then propose to consider the expected value of the Kendall rank correlation coefficient as a new theoretical correlation coefficient which can be an alternative to the classical Pearson product-moment correlation coefficient. At the end of this work we analyze illustrative examples.

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Alexei Stepanov. 2015-07-06. On the Kendall Correlation Coefficient. https://arxiv.org/abs/1507.01427

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