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

Computational Statistics and Data Analysis

Volumn 51, Issue 6, 2007, Pages 2803-2812

  Wang, Hansheng ^a  

^a Peking University   (China)

Author keywords

China stock market; Iterative marginal optimization; Maximum rank correlation; Nelder Mead algorithm; Receiver operating characteristics; Special treatment policy

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; INVENTORY CONTROL; ITERATIVE METHODS; OPTIMIZATION; PARAMETER ESTIMATION; REGRESSION ANALYSIS;

CHINA STOCK MARKET; ITERATIVE MARGINAL OPTIMIZATION; MAXIMUM RANK CORRELATION; NELDER MEAD ALGORITHM; RECEIVER OPERATING CHARACTERISTICS; SPECIAL TREATMENT POLICY;

CORRELATION METHODS;

EID: 33846591978     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.10.004     Document Type: Article

References (14)

1. Baker S.G. The central role of receiver operating characteristics (roc) curves in evaluating tests for the early detection of cancer. J. Nat. Cancer Inst. 95 (2003) 511-515
2. Cavanagh C., and Sherman R.P. Rank estimators for monotonic index models. J. Econometrics 84 (1998) 351-381
3. Cox D.R. Regression models and life tables. J. Roy. Statist. Soc. Ser. B 34 (1972) 187-220
4. Fan J., and Gijbels I. Local Polynomial Modelling and Its Applications (1996), Chapman & Hall, New York, NY
5. Han A.K. Nonparametric analysis of a generalized regression model. J. Econometrics 35 (1987) 303-316
6. Harrison W.T., and Horngren C.T. Financial Accounting (2001), Prentice-Hall, New York, NY
7. Horowitz J.L. Semiparametric Methods in Econometrics (1998), Springer, New York
8. Lagarias, et al. Convergence properties of the Nelder-Mead simplex method in low dimensions. SIAM J. Optim. 9 (1998) 112-147
9. McCullagh P., and Nelder J.A. Generalized Linear Models (1989), Chapman & Hall, New York, NY
10. Nelder J.A., and Mead R. A simplex method for function minimization. Comput. J. 7 (1965) 308-313
11. Pepe M.S. The Statistical Evaluation of Medical Tests for Classification and Prediction (2003), Oxford University Press, Oxford
12. Pepe, M.S., et al., 2004. Combining predictors for classification using the area under the ROC curve. University of Washington Biostatistics Working Paper Series.
13. Sedgewick R. Implementing quicksort programs. Comm. ACM 21 (1978) 847-857
14. Sherman R.P. The limiting distribution of the maximum rank correlation estimator. Econometrica 61 (1993) 123-137