Asymptotic properties of Spearman’s footrule and Gini’s gamma in bivariate normal model

Abstract

This paper aims at rejuvenating the two rank correlation coefficients, Spearman’s footrule (SF) and Gini’s gamma (GG), which were forgotten in the literature for a long time due to lack of knowledge concerning their statistical properties. Under the common bivariate normal model, we establish the asymptotic analytical expressions of the mean and variance of SF and GG, and investigate the performances of SF and GG from the aspects of biased effect, approximate variance and asymptotic relative efficiency (ARE). Moreover, we further study the robustness of SF and GG under contaminated normal models. In order to get a deeper understanding of their performances, we also compare SF and GG with Kendall’s tau (KT) and Spearman’s rho (SR), the most widely used rank correlation coefficients, in terms of bias and mean square error (MSE) under both the normal and contaminated normal models. Finally we show an application of SF and GG in the field of signal processing through the example of time-delay estimation. Simulation results indicate that SF and GG outperform SR and KT in some cases. The new findings discovered in this paper enable SF and GG to play complementary roles to KT and SR in practice.