Benutzer: Gast  Login
Titel:

Efficient computation of the Bergsma–Dassios sign covariance

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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 Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Computational Statistics
Jahr:
2016
Band / Volume:
31
Jahr / Monat:
2016-01
Quartal:
1. Quartal
Monat:
Jan
Heft / Issue:
1
Seitenangaben Beitrag:
315-328
Sprache:
en
Volltext / DOI:
doi:10.1007/s00180-015-0639-x
Verlag / Institution:
Springer Science and Business Media LLC
E-ISSN:
0943-40621613-9658
Publikationsdatum:
04.01.2016
 BibTeX