LargeSample Theory for the BergsmaDassios Sign Covariance
Abstract
The BergsmaDassios sign covariance is a recently proposed extension of Kendall's tau. In contrast to tau or also Spearman's rho, the new sign covariance $\tau^*$ vanishes if and only if the two considered random variables are independent. Specifically, this result has been shown for continuous as well as discrete variables. We develop largesample distribution theory for the empirical version of $\tau^*$. In particular, we use theory for degenerate Ustatistics to derive asymptotic null distributions under independence and demonstrate in simulations that the limiting distributions give useful approximations.
 Publication:

arXiv eprints
 Pub Date:
 February 2016
 arXiv:
 arXiv:1602.04387
 Bibcode:
 2016arXiv160204387N
 Keywords:

 Mathematics  Statistics Theory