An algorithm for maximizing Kendall’s \(\tau\). (English) Zbl 1077.62520
Transformations that maximize the strength of dependence of jointly distributed random variables are of great importance in various data analysis problems. This paper presents a procedure for maximization of Kendall’s \(\tau\) – a coefficient of a monotone dependence in bivariate data. Results of a simulation study of the effectiveness of the proposed procedure are presented.
MSC:
| 62H20 | Measures of association (correlation, canonical correlation, etc.) |
| 65C60 | Computational problems in statistics (MSC2010) |
References:
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