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- Title:
Efficient computation of the Bergsma–Dassios sign covariance
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Weihs, Luca; Drton, Mathias; Leung, Dennis
- Abstract:
- In an extension of Kendall’s τ, Bergsma and Dassios (Bernoulli 20(2):1006–1028, 2014) introduced a covariance measure τ∗ for two ordinal random variables that vanishes if and only if the two variables are independent. For a sample of size n, a direct computation of t∗, the empirical version of τ∗, requires O(n4) operations. We derive an algorithm that computes the statistic using only O(n2log(n)) operations.
- Dewey Decimal Classification:
- 510 Mathematik
- Journal title:
- Computational Statistics
- Year:
- 2016
- Journal volume:
- 31
- Year / month:
- 2016-01
- Quarter:
- 1. Quartal
- Month:
- Jan
- Journal issue:
- 1
- Pages contribution:
- 315-328
- Language:
- en
- Fulltext / DOI:
- doi:10.1007/s00180-015-0639-x
- Publisher:
- Springer Science and Business Media LLC
- E-ISSN:
- 0943-40621613-9658
- Date of publication:
- 04.01.2016
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