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Efficient Calculation of Jackknife Confidence Intervals for Rank Statistics

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  • Newson, Roger

Abstract

An algorithm is presented for calculating concordance-discordance totals in a time of order N log N , where N is the number of observations, using a balanced binary search tree. These totals can be used to calculate jackknife estimates and confidence limits in the same time order for a very wide range of rank statistics, including Kendall's tau, Somers' D, Harrell's c, the area under the receiver operating characteristic (ROC) curve, the Gini coefficient, and the parameters underlying the sign and rank-sum tests. A Stata package is introduced for calculating confidence intervals for these rank statistics using this algorithm, which has been implemented in the Mata compilable matrix programming language supplied with Stata.

Suggested Citation

  • Newson, Roger, 2005. "Efficient Calculation of Jackknife Confidence Intervals for Rank Statistics," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 15(i01).
    • Handle: RePEc:jss:jstsof:v:015:i01
    DOI: http://hdl.handle.net/10.18637/jss.v015.i01
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    References listed on IDEAS

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    1. Roger Newson, 2002. "Parameters behind "nonparametric" statistics: Kendall's tau,Somers' D and median differences," Stata Journal, StataCorp LP, vol. 2(1), pages 45-64, February.
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    Cited by:

    1. Lukasz Prorokowski, 2016. "Rank-order statistics for validating discriminative power of credit risk models," Bank i Kredyt, Narodowy Bank Polski, vol. 47(3), pages 227-250.
    2. Peter, Eckley, 2015. "Measuring economic uncertainty using news-media textual data," MPRA Paper 64874, University Library of Munich, Germany, revised 01 May 2015.

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