Asymptotic expected sensitivity function and its applications to nonparametric correlation estimators

Abstract: We introduce a new type of influence function, the asymptotic expected sensitivity function, which is often equivalent to but mathematically more tractable than the traditional one based on the Gateaux derivative. To illustrate, we study the robustness of some important rank correlations, including Spearman's and Kendall's correlations, and the recently developed Chatterjee's correlation.