A consistent test of independence based on a sign covariance related to Kendall's tau

@article{Bergsma2010ACT,
  title={A consistent test of independence based on a sign covariance related to Kendall's tau},
  author={Wicher Bergsma and A. Dassios},
  journal={arXiv: Statistics Theory},
  year={2010}
}
The most popular ways to test for independence of two ordinal random variables are by means of Kendall's tau and Spearman's rho. However, such tests are not consistent, only having power for alternatives with ``monotonic'' association. In this paper, we introduce a natural extension of Kendall's tau, called $\tau^*$, which is non-negative and zero if and only if independence holds, thus leading to a consistent independence test. Furthermore, normalization gives a rank correlation which can be… Expand

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