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- 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
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