The distribution of Spearman’s rho trend statistic for persistent hydrologic data

Abstract

Spearman’s rho, a distribution-free statistic, has been suggested in the literature for testing the significance of trend in time series data. Although the use of the test based on Spearman’s rho (also known as the Daniels test) is less widespread than that based on Kendall’s tau (the Mann-Kendall test), the two tests have been shown in the literature to be equivalent for time series with independent observations. The distribution of the Mann-Kendall trend statistic for persistent data has been previously addressed in the literature. In this paper, the distribution of Spearman’s rho as a trend test statistic for persistent data is studied. Following the same procedures used for Kendall’s tau in earlier work, an exact expression for the variance of Spearman’s rho for persistent data with multivariate Gaussian dependence is derived, and a method for calculating the exact full distribution of rho for small sample sizes is also outlined. Approximations for moderate and large sample sizes are also discussed. A case study of testing the significance of trends in a group of world river flow station data using both Kendall’s tau and Spearman’s rho is presented. Both the theoretical results and those of the case study confirm the equivalence of trend testing based on Spearman’s rho and Kendall’s tau for persistent hydrologic data.Editor Z. W. Kundzewicz; Associate editor S. Grimaldi