A Simple Bootstrap for Chatterjee's Rank Correlation
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866910579813253120 |
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| author | Dette, Holger Kroll, Marius |
| author_facet | Dette, Holger Kroll, Marius |
| contents | We prove that an $m$ out of $n$ bootstrap procedure for Chatterjee's rank correlation is consistent whenever asymptotic normality of Chatterjee's rank correlation can be established. In particular, we prove that $m$ out of $n$ bootstrap works for continuous as well as for discrete data with independent coordinates; furthermore, simulations indicate that it also performs well for discrete data with dependent coordinates, and that it outperforms alternative estimation methods. Consistency of the bootstrap is proved in the Kolmogorov as well as in the Wasserstein distance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_01027 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A Simple Bootstrap for Chatterjee's Rank Correlation Dette, Holger Kroll, Marius Statistics Theory 62F40, 62G05, 62H20 We prove that an $m$ out of $n$ bootstrap procedure for Chatterjee's rank correlation is consistent whenever asymptotic normality of Chatterjee's rank correlation can be established. In particular, we prove that $m$ out of $n$ bootstrap works for continuous as well as for discrete data with independent coordinates; furthermore, simulations indicate that it also performs well for discrete data with dependent coordinates, and that it outperforms alternative estimation methods. Consistency of the bootstrap is proved in the Kolmogorov as well as in the Wasserstein distance. |
| title | A Simple Bootstrap for Chatterjee's Rank Correlation |
| topic | Statistics Theory 62F40, 62G05, 62H20 |
| url | https://arxiv.org/abs/2308.01027 |