Canadian Journal of Statistics
An exchangeable Kendall's tau for clustered data
Journal Article
- Author(s): Hela Romdhani, Lajmi Lakhal‐Chaieb, Louis‐Paul Rivest
- Article first published online: 18 Jul 2014
- DOI: 10.1002/cjs.11223
- Read on Online Library
- Subscribe to Journal
Abstract
This article introduces the exchangeable Kendall's tau as a nonparametric intraclass association measure in a clustered data frame and studies the sampling properties of an estimator of this quantity. Its asymptotic distribution is derived under a multivariate exchangeable model. Two applications of the proposed statistic are considered. The first is an estimator of the intraclass correlation coefficient for data drawn from an elliptical distribution. The asymptotic properties of this estimator are investigated under an extended random effects ANOVA model. The second is a semiparametric intraclass independence test based on the exchangeable Kendall's tau whose performance is assessed using Pitman efficiencies and a Monte Carlo study. The Canadian Journal of Statistics 42: 384–403; 2014 © 2014 Statistical Society of Canada
Connect: