A Simple Bootstrap for Chatterjee's Rank Correlation

08/02/2023

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by   Holger Dette, et al.

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We prove that an m out of n bootstrap procedure for Chatterjee's rank correlation is consistent whenever asymptotic normality of Chatterjee's rank correlation can be established. In particular, we prove that m out of n bootstrap works for continuous as well as for discrete and independent data; furthermore, simulations indicate that it also performs well for discrete and dependent data, and that it outperforms alternative estimation methods.