Kendall Correlation Coefficient for non-Identically Distributed Variables
Alexei Stepanov
Abstract
In the present paper, we discuss for the first time the theoretical Kendall correlation coefficient for non-identical bivariate data. In the non-identical case, we first introduce a theoretical Kendall correlation coefficient $τ_n$ and show that the expected value of the rank Kendall correlation coefficient $\tildeτ_n$ is equal to $τ_n$. We then prove that $\tildeτ_n$ converges in probability to $τ=\lim_{n\rightarrow\infty} τ_n$. These facts enable us to state that $τ_n$ is a correctly defined theoretical Kendall correlation coefficient for the non-identical case. We also support our theoretical results by simulation experiments.