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