Exact Computation of Maximum Rank Correlation Estimator

Youngki Shin and Zvezdomir Todorov

Papers from arXiv.org

Abstract: In 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 non-asymptotic 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.

Date: 2020-09, Revised 2021-01
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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Citations: View citations in EconPapers (2)

Published in Econometrics Journal, 24(3), 2021, pp. 589-607

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http://arxiv.org/pdf/2009.03844 Latest version (application/pdf)

Related works:
Journal Article: Exact computation of maximum rank correlation estimator (2021)
Working Paper: Exact Computation of Maximum Rank Correlation Estimator (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.03844

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