The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data. Although its influence function is unbounded, it still has attractive robustness properties. In particular, its breakdown point is above 12%. Moreover, the estimator is consistent...

The construction of simple classification rules is a frequent problem in medical research. For example a difference in overall survival time may suggest distinct types, i.e. subgroups of patients, of diffuse large B-cell lymphoma identified by gene expression profiling. Maximally selected rank...

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

In many cost-sensitive environments class probability estimates are used by decisionmakers to evaluate the expected utility from a set of alternatives. Supervisedlearning can be used to build class probability estimates; however, it often is verycostly to obtain training data with class labels....

The problem of ranking intra-day volatility estimators purely via empirical criteria is considered. Following the original work on this topic undertaken by Patton (2011a), the proposed methodology draws from the literature on loss-based forecast evaluation, but accounts for the inevitable...

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...

Spearman's rank correlation is a robust alternative for the standard correlation coefficient. By using ranks instead of the actual values of the observations, the impact of outliers remains limited. In this paper, we study an estimator based on this rank correlation measure for estimating...

Parametric stochastic frontier models yield firm-level conditional distributions of inefficiency that are truncated normal. Given these distributions, how should one assess and rank firm-level efficiency? This study compares the techniques of estimating (a) the conditional mean of inefficiency...

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...