Rank correlation in a singly truncated bivariate normal distribution
Hume, Merril Wayne
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Considerable attention has been devoted to the rank correlation coefficients of Spearman and Kendall, denoted by rS and rK respectively. These coefficients were first proposed as measures of association between two groupings, requiring no assumptions on the parent distribution of the observations. Later work considered the distributions of rS and rK when the parent distribution is the bivariate normal. This study is an investigation of the moments and related properties of Spearman's rS and Kendall's rK when the underlying distribution is the singly truncated bivariate normal.
- Doctoral Dissertations