•  
  •  
 

Abstract

Consider three random variables, Y , X1 and X2, having some unknown trivariate distribution and let n2j (j = 1, 2) be some measure of the strength of association between Y and Xj. When n2j is taken to be Pearson’s correlation numerous methods for testing Ho : n21 = n22 have been proposed. However, Pearson’s correlation is not robust and the methods for testing H0 are not level robust in general. This article examines methods for testing H0 based on a robust fit. The first approach assumes a linear model and the second approach uses a nonparametric regression estimator that provides a flexible way of dealing with curvature. The focus is on the Theil-Sen estimator and Cleveland’s LOESS smoother. It is found that a basic percentile bootstrap method avoids Type I errors that exceed the nominal level. However, situations are identified where this approach results in Type I error probabilities well below the nominal level. Adjustments are suggested for dealing with this problem.

Share

COinS