Spearman's rank correlation is a robust alternative for the standard correlation coefficient. By using ranks instead of the actual values of the observations, the impact of outliers remains limited. In this paper, we study an estimator based on this rank correlation measure for estimating...

The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data. Although its influence function is unbounded, it still has attractive robustness properties. In particular, its breakdown point is above 12%. Moreover, the estimator is consistent...