A note on iterative marginal optimization: a simple algorithm for maximum rank correlation estimation

The maximum rank correlation (MRC) estimator was originally studied by Han [1987. Nonparametric analysis of a generalized regression model. J. Econometrics 35, 303–316] and Sherman [1993. The limiting distribution of the maximum rank correlation estimator. Econometrica 61, 123–137] from the econometrics point of view, and most recently attracted much attention from the classification literature due to its close relationship with the receiver operating characteristics (ROC) curve [Baker, 2003. The central role of receiver operating characteristics (ROC) curves in evaluating tests for the early detection of cancer. J. Nat. Cancer Inst. 95, 511–515; Pepe, 2003. The Statistical Evaluation of Medical Tests for Classification and Prediction. Oxford University Press, Oxford; Pepe et al., 2004. Combining predictors for classification using the area under the ROC curve. University of Washington Biostatistics Working Paper Series]. Compared with its nice theoretical properties and succ...

• Type: Journal
• Year: 2007
• Where: CSDA
• Authors: Hansheng Wang
• Keywords: CSDA 2007, Estimator, Generalized Regression Model, Receiver Operating Characteristics