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 JDAIP  Vol.3 No.3 , August 2015
A Simulation Based Comparison of Correlation Coefficients with Regard to Type I Error Rate and Power
Elif Tuğran1, Mehmet Kocak2, Hamit Mirtagioğlu3, Soner Yiğit1, Mehmet Mendes1*
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Abstract: In this simulation study, five correlation coefficients, namely, Pearson, Spearman, Kendal Tau, Permutation-based, and Winsorized were compared in terms of Type I error rate and power under different scenarios where the underlying distributions of the variables of interest, sample sizes and correlation patterns were varied. Simulation results showed that the Type I error rate and power of Pearson correlation coefficient were negatively affected by the distribution shapes especially for small sample sizes, which was much more pronounced for Spearman Rank and Kendal Tau correlation coefficients especially when sample sizes were small. In general, Permutation-based and Winsorized correlation coefficients are more robust to distribution shapes and correlation patterns, regardless of sample size. In conclusion, when assumptions of Pearson correlation coefficient are not satisfied, Permutation-based and Winsorized correlation coefficients seem to be better alternatives.
Keywords: Correlation Coefficient, Robustness, Type I Error Rate, Test Power, Non-Normality, Simulation
Cite this paper: Tuğran, E. , Kocak, M. , Mirtagioğlu, H. , Yiğit, S. and Mendes, M. (2015) A Simulation Based Comparison of Correlation Coefficients with Regard to Type I Error Rate and Power. Journal of Data Analysis and Information Processing, 3, 87-101. doi: 10.4236/jdaip.2015.33010.
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