THE USE OF CORRELATION IN LARGE SAMPLES

The asymptotic relative efficiency of Kendall's and Spearman's coefficients of rank correlation are considered for samples from a bivariate normal distribution and comments are made on the calculation of their variances. For large samples it is suggested that one should use mean values of the coefficients calculated by splitting the sample into a fairly large number of smaller samples. This reduces the amount of calculation required and the asymptotic relative efficiency of this procedure is found both for ρ= 0 and ρ≠ 0.