Gamma Correlation Test

A Gamma Correlation Test is a non-parametric correlational hypothesis test that is based on a Gamma statistic.

• AKA: Kendall Correlation Test.
  • …
• Counter-Example(s):
  • Mantel Correlation Test.
  • Pearson Correlation Test.
  • Spearman Correlation Test.
  • Kendall Tau Correlation Test.
• See: Correlational Hypothesis Test, Correlation, Autocorrelation, Cointegration.

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References

2017

• (Quest Software Inc., 2017) ⇒ Statistics – Textbook, Nonparametric Statistics https://documents.software.dell.com/statistics/textbook/nonparametric-statistics#correlations
  • The Gamma statistic (Siegel & Castellan, 1988) is preferable to Spearman R or Kendall tau when the data contain many tied observations. In terms of the underlying assumptions, Gamma is equivalent to Spearman R or Kendall tau; in terms of its interpretation and computation it is more similar to Kendall tau than Spearman R. In short, Gamma is also a probability; specifically, it is computed as the difference between the probability that the rank ordering of the two variables agree minus the probability that they disagree, divided by 1 minus the probability of ties. Thus, Gamma is basically equivalent to Kendall tau, except that ties are explicitly taken into account.

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