Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Roger Newson
Title: Efficient Calculation of Jackknife Confidence Intervals for Rank Statistics
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.

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Paper: Efficient Calculation of Jackknife Confidence Intervals for Rank Statistics     Download PDF (Downloads: 9037)
Supplements: somersd code Download (Downloads: 1352; 344KB)

DOI: 10.18637/jss.v015.i01

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.