Abstract:
A necessary and sufficient condition for Pitman's asymptotic relative efficiency of the Kendall and Spearman correlation statistics for the independence test to be $1$ is given, in terms of certain smoothness and nondegeneracy properties of the model. Corresponding easy-to-use and broadly applicable sufficient conditions are obtained. These conditions hold for most well-known models of dependence.
Keywords:asymptotic relative efficiency, correlation statistics, Kendall's statistic, Spearman's statistic, nonparametric tests, tests of independence, association function, models of dependence.
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