The "Introductory Statistics with R" book contains a section that deals with correlations (section 6.4 in the second edition). The book shows Pearson, Spearman and Kendall correlation coefficients computed on the
short.velocity columns of the thuesen data set. The p-values associated with these coefficients are 0.048, 0.139 and 0.119, correspondingly. The book then says the following:
Notice that neither of the two nonparametric correlations is significant at the 5% level, which the Pearson correlation is, albeit only borderline significant.
I have several problems with this paragraph.
First of all, my naive guess would be that since the non-parametric coefficients do not imply linearity, they will tend to be "significant" more frequently than Pearson's r. Am I right?
Secondly, and more importantly, is such a comparison between p-values of different tests applied on the same data legit? (I'm talking about real-life comparisons and not about trivial examples in a text book) If it is, how one need to interpret the notion that linear correlation is "significant", while rank or concordance correlation isn't?