Efficient Calculation of Jackknife Confidence Intervals for Rank Statistics

Roger Benedict Newson ()

Journal of Statistical Software, 2005, vol. 15, issue 01

Abstract: An algorithm is presented for calculating concordance-discordance totals in a time of order N log N , where N is the number of observations, using a balanced binary search tree. These totals can be used to calculate jackknife estimates and confidence limits in the same time order for a very wide range of rank statistics, including Kendall's tau, Somers' D, Harrell's c, the area under the receiver operating characteristic (ROC) curve, the Gini coefficient, and the parameters underlying the sign and rank-sum tests. A Stata package is introduced for calculating confidence intervals for these rank statistics using this algorithm, which has been implemented in the Mata compilable matrix programming language supplied with Stata.

Date: 2005 Written

Downloads: (external link)
http://www.jstatsoft.org/v15/i01/paper link to download full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jss:jstsof:15:i01

Access Statistics for this article

Journal of Statistical Software is edited by Jan de Leeuw and Achim Zeileis

More articles in Journal of Statistical Software from American Statistical Association
Series data maintained by Christopher F. Baum ().