A nonparametric confidence interval for slope based on spearman's rho

Abstract

An algorithm is presented for computing an exact nonparametric interval estimate of the slope parameter in a simple linear regression model. The confidence interval is obtained by inverting the hypothesis test for slope that uses Spearman's rho. This method is compared to an exact procedure based on Kendall's tau. The Spearman rho procedure will generally give exact levels of confidence closer to desired levels, especially in small samples. Monte carlo results comparing these two methods with the parametric procedure are given

Keywords:

• distribution-free
• rank statistic
• Theil estimator
• regression
• interval estimate