Canadian Journal of Statistics

Bias reduction for nonparametric correlation coefficients under the bivariate normal copula assumption with known detection limits

Journal Article


The authors derive the asymptotic mean and bias of Kendall's tau and Spearman's rho in the presence of left censoring in the bivariate Gaussian copula model. They show that tie corrections for left‐censoring brings the value of these coefficients closer to zero. They also present a bias reduction method and illustrate it through two applications.

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