kendall_var_independent {corTESTsrd}R Documentation

Asymptotic variance of estimator of Kendall's Tau between independent iid random variables

Description

Calculates the asymptotic variance of the estimator of Kendall's Tau between iid observations of independent random variables. The expression comes from the asymptotic normal distribution of the estimator, see e.g. equation 2.30 in chapter 11 of Gibbons and Chakraborti (2003).

Usage

kendall_var_independent(n)

Arguments

n

number of observations, should be integer bigger than 0.

Value

Asymptotic variance of estimator.

References

J. D. Gibbons, and S. Chakraborti, Nonparametric statistical inference (4th Edition). CRC press, 2003.

Examples

kendall_var_independent(n=50)

[Package corTESTsrd version 1.0-0 Index]