Blest (2000, Aust. N. Z. J. Stat. 42, 101-111) proposed a new measure of rank correlation that is sensitive to discrepancies in the small ranks. This paper investigates the efficiency properties of non-parametric tests for independence based on Blest's correlation coefficient and its modifications. Pitman efficiency comparisons are made with analogous tests existing in the literature. Conditions for Pitman optimality of the Blest-type tests are established.

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Keywords Dependence function, Lagrange principle, Pitman efficiency, Rank correlation, Tests of independence
Persistent URL dx.doi.org/10.1111/j.1467-842X.2008.00513.x
Journal Australian and New Zealand Journal of Statistics
Citation
Stepanova, N, & Wang, S. (Shu). (2008). Asymptotic efficiency of the blest-type tests for independence. Australian and New Zealand Journal of Statistics, 50(3), 217–233. doi:10.1111/j.1467-842X.2008.00513.x