Exact computation of maximum rank correlation estimator

B-Tier
Journal: The Econometrics Journal
Year: 2021
Volume: 24
Issue: 3
Pages: 589-607

Authors (2)

Youngki Shin (McMaster University) Zvezdomir Todorov (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

SummaryIn this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construct a new constrained optimization problem by transforming all indicator functions into binary parameters to be estimated and show that it is equivalent to the original problem. We also consider an application of the best subset rank prediction and show that the original optimization problem can be reformulated as MIP. We derive the nonasymptotic bound for the tail probability of the predictive performance measure. We investigate the performance of the MIP algorithm by an empirical example and Monte Carlo simulations.

Technical Details

RePEc Handle
repec:oup:emjrnl:v:24:y:2021:i:3:p:589-607.
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29