Comparing The Effectiveness Of Rank Correlation Statistics
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- Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
- Lee, Paul H. & Yu, Philip L.H., 2012. "Mixtures of weighted distance-based models for ranking data with applications in political studies," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2486-2500.
- Lee, Paul H. & Yu, Philip L.H., 2010. "Distance-based tree models for ranking data," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1672-1682, June.
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KeywordsOrdinal Data; Nonlinear Association; Weighted Rank Correlation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-02 (All new papers)
- NEP-DCM-2009-05-02 (Discrete Choice Models)
- NEP-ECM-2009-05-02 (Econometrics)
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