A nonparametric confidence interval for slope based on spearman's rho

Greg Taylor, W. J. Conover

Research output: Contribution to journalArticlepeer-review

Abstract

An algorithm is presented for computing an exact nonparametric interval estimate of the slope parameter in a simple linear regression model. The confidence interval is obtained by inverting the hypothesis test for slope that uses Spearman's rho. This method is compared to an exact procedure based on Kendall's tau. The Spearman rho procedure will generally give exact levels of confidence closer to desired levels, especially in small samples. Monte carlo results comparing these two methods with the parametric procedure are given.

Original languageEnglish
Pages (from-to)905-916
Number of pages12
JournalCommunications in Statistics - Simulation and Computation
Volume17
Issue number3
DOIs
StatePublished - Jan 1 1988

Keywords

  • Tbeil estimator
  • distribution-free
  • interval estimate
  • rank statistic
  • regression

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