A note on iterative marginal optimization: a simple algorithm for maximum rank correlation estimation

DOI10.1016/j.csda.2006.10.004zbMath1446.62314OpenAlexW2115823897MaRDI QIDQ1019910

Hansheng Wang

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.10.004

zbMATH Keywords

Nelder-Mead algorithmChina stock marketreceiver operating characteristicsiterative marginal optimizationmaximum rank correlationspecial treatment policy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Uses Software

• fminsearch
• Quicksort

Cites Work

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• Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
• Rank estimators for monotonic index models
• Semiparametric methods in econometrics
• Implementing Quicksort programs
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• A Simplex Method for Function Minimization

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