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RE: st: non parametric tests


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: non parametric tests
Date   Wed, 10 Aug 2005 19:56:23 +0100

I agree with Roger mostly, but this makes the Spearman 
method just seem like an inferior and outdated alternative to 
Kendall's tau. Once you focus on the fact that 
Spearman = Pearson on ranks and so measures monotonicity
rather than linearity, you can see Spearman being useful
for some problems for which -ktau- is in turn inferior. 

That is, despite their both being labelled rank 
correlations, which is better depends on the problem.  

A vignette of Sir Maurice Kendall giving his dates 
can be found at [R] spearman. 

Nick 
n.j.cox@durham.ac.uk 

Roger Newson

> Spearman's rho mainly caught on because it is 
> easier than 
> Kendall's tau to calculate without a computer, and this was 
> an issue when Maurice Kendall was alive. (I seem to recall that he died in 
> the early 1980s.)
> 
> Calculating confidence intervals for Kendall's tau-a was even more 
> difficult without computers. In fact, even Henry Daniels and Maurice 
> Kendall didn't manage to do it without making mistakes, when 
> they gave a 
> worked example of the formulas in in their paper (Daniels and 
> Kendall, 1947).
> 
> Roger
> 
> 
> References
> 
> Daniels, H. E. and Kendall, M. G. 1947. The Significance of Rank 
> Correlation Where Parental Correlation Exists. Biometrika 34: 197-208.
> 
> Kendall, M. G. and J. D. Gibbons. 1990. Rank Correlation 
> Methods. 5th edition.
> New York: Oxford University Press.

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