The Gaussian Rank Correlation Estimator: Robustness Properties
Statistics and Computing, Vol. 22, pp. 471-483, 2012
25 Pages Posted: 13 Oct 2010 Last revised: 4 Mar 2012
Date Written: October 8, 2010
The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data. Although its influence function is unbounded, it still has attractive robustness properties. In particular, its breakdown point is above 12%. Moreover, the estimator is consistent and asymptotically efficient at the normal distribution. The correlation matrix based on the Gaussian rank correlation is always positive semidefinite, and very easy to compute, also in high dimensions. A simulation study confirms the good efficiency and robustness properties of the proposed estimator with respect to the popular Kendall and Spearman correlation measures. In the empirical application, we show how it can be used for multivariate outlier detection based on robust principal component analysis.
Keywords: Breakdown, Correlation, Efficiency, Robustness, Van der Waerden
JEL Classification: C13, C15
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