An exchangeable Kendall%26apos;s tau for clustered data

作者：Romdhani Hela; Lakhal Chaieb Lajmi; Rivest Louis Paul^*

来源：Canadian Journal of Statistics, 2014, 42(3): 384-403.

DOI：10.1002/cjs.11223

• Clustered data
• elliptical distributions
• exchangeable copula
• extended random effects ANOVA model
• intraclass correlation
• intraclass independence test
• Kendall%26apos
• s tau
• Pitman efficiency

This article introduces the exchangeable Kendall%26apos;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%26apos;s tau whose performance is assessed using Pitman efficiencies and a Monte Carlo study.

• 出版日期2014-9