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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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