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Article: Asymptotic properties of order statistics correlation coefficient in the normal cases

TitleAsymptotic properties of order statistics correlation coefficient in the normal cases
Authors
KeywordsBivariate normal
Concomitant
Delta method
Fisher's z transform
Gini correlation (GC) Kurtosis
Order statistics correlation coefficient (OSCC)
Pearson's product moment correlation coefficient (PPMCC)
Ranks
Relative efficiency
Skewness
Spearman's rho (SR)
Issue Date2008
PublisherIEEE.
Citation
Ieee Transactions On Signal Processing, 2008, v. 56 n. 6, p. 2239-2248 How to Cite?
AbstractWe have previously proposed a novel order statistics correlation coefficient (OSCC), which possesses some desirable advantages when measuring linear and monotone nonlinear associations between two signals. However, the understanding of this new coefficient is far from complete. A lot of theoretical questions, such as the expressions of its distribution and moments, remain to be addressed. Motivated by this unsatisfactory situation, in this paper we prove that for samples drawn from bivariate normal populations, the distribution of OSCC is asymptotically equivalent to that of the Pearson's product moment correlation coefficient (PPMCC). We also reveal its close relationships with the other two coefficients, namely, Gini correlation (GC) and Spearman's rho (SR). Monte Carlo simulation results agree with the theoretical findings. © 2008 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/57445
ISSN
2015 Impact Factor: 2.624
2015 SCImago Journal Rankings: 2.004
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorXu, Wen_HK
dc.contributor.authorChang, Cen_HK
dc.contributor.authorHung, YSen_HK
dc.contributor.authorFung, PCWen_HK
dc.date.accessioned2010-04-12T01:37:00Z-
dc.date.available2010-04-12T01:37:00Z-
dc.date.issued2008en_HK
dc.identifier.citationIeee Transactions On Signal Processing, 2008, v. 56 n. 6, p. 2239-2248en_HK
dc.identifier.issn1053-587Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/57445-
dc.description.abstractWe have previously proposed a novel order statistics correlation coefficient (OSCC), which possesses some desirable advantages when measuring linear and monotone nonlinear associations between two signals. However, the understanding of this new coefficient is far from complete. A lot of theoretical questions, such as the expressions of its distribution and moments, remain to be addressed. Motivated by this unsatisfactory situation, in this paper we prove that for samples drawn from bivariate normal populations, the distribution of OSCC is asymptotically equivalent to that of the Pearson's product moment correlation coefficient (PPMCC). We also reveal its close relationships with the other two coefficients, namely, Gini correlation (GC) and Spearman's rho (SR). Monte Carlo simulation results agree with the theoretical findings. © 2008 IEEE.en_HK
dc.languageengen_HK
dc.publisherIEEE.en_HK
dc.relation.ispartofIEEE Transactions on Signal Processingen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rights©2008 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.en_HK
dc.subjectBivariate normalen_HK
dc.subjectConcomitanten_HK
dc.subjectDelta methoden_HK
dc.subjectFisher's z transformen_HK
dc.subjectGini correlation (GC) Kurtosisen_HK
dc.subjectOrder statistics correlation coefficient (OSCC)en_HK
dc.subjectPearson's product moment correlation coefficient (PPMCC)en_HK
dc.subjectRanksen_HK
dc.subjectRelative efficiencyen_HK
dc.subjectSkewnessen_HK
dc.subjectSpearman's rho (SR)en_HK
dc.titleAsymptotic properties of order statistics correlation coefficient in the normal casesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1053-587X&volume=56&issue=6&spage=2239&epage=2248&date=2008&atitle=Asymptotic+properties+of+order+statistics+correlation+coefficient+in+the+normal+casesen_HK
dc.identifier.emailXu, W: wcxu@eee.hku.hken_HK
dc.identifier.emailChang, C: cqchang@eee.hku.hken_HK
dc.identifier.emailHung, YS: yshung@hkucc.hku.hken_HK
dc.identifier.authorityXu, W=rp00198en_HK
dc.identifier.authorityChang, C=rp00095en_HK
dc.identifier.authorityHung, YS=rp00220en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1109/TSP.2007.916127en_HK
dc.identifier.scopuseid_2-s2.0-44849127226en_HK
dc.identifier.hkuros145520-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-44849127226&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume56en_HK
dc.identifier.issue6en_HK
dc.identifier.spage2239en_HK
dc.identifier.epage2248en_HK
dc.identifier.isiWOS:000256153800006-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridXu, W=7404428876en_HK
dc.identifier.scopusauthoridChang, C=7407033052en_HK
dc.identifier.scopusauthoridHung, YS=8091656200en_HK
dc.identifier.scopusauthoridFung, PCW=7101613315en_HK

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