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Rank correlation estimators and their limiting distributions

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Abstract

We examine a new rank correlation estimator, recently proposed by Bobrowski (Ranked modelling of risk on the basis of survival data. ICSMRA, Lisbon, 2007). It is obtained by minimization of a convex piece-wise linear criterion function. The main advantage of this estimator is the fact that it can be effectively computed by algorithms related to linear programming. We prove basic asymptotic theorems about the estimator: consistency and asymptotic normality.

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Authors and Affiliations

  1. Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, Toruń, Poland

    Wojciech Niemiro & Wojciech Rejchel

  2. Institute of Applied Mathematics and Mechanics, University of Warsaw, Warsaw, Poland

    Wojciech Niemiro

Authors
  1. Wojciech Niemiro
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  2. Wojciech Rejchel
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Correspondence to Wojciech Niemiro.

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Niemiro, W., Rejchel, W. Rank correlation estimators and their limiting distributions. Stat Papers 50, 887–893 (2009). https://doi.org/10.1007/s00362-009-0263-3

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  • DOI: https://doi.org/10.1007/s00362-009-0263-3

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