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Exact Computation of Maximum Rank Correlation...
Preprint

Exact Computation of Maximum Rank Correlation Estimator

Abstract

In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construct a new constrained optimization problem by transforming all indicator functions into binary parameters to be estimated and show that it is equivalent to the original problem. We also consider an application of the best subset rank prediction and show that the …

Authors

Shin Y; Todorov Z

Publication date

January 1, 2021

DOI

10.2139/ssrn.3773907

Preprint server

SSRN Electronic Journal