arXiv research

Improved portfolio optimization using Kendall-like correlation coefficients.

Standardizes weighted ranking correlation coefficients to maintain zero expected value.

Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of-the-art in estimating large correlation matrices focuses on the use of Pearson's sample correlation matrix. Although Pearson's sample correlation matrix enjoys various good prop…

This paper uses rank correlation methods to construct MSTs from financial returns, finding them more stable and robust.

Correlation matrices are omnipresent in multivariate data analysis. When the number d of variables is large, the sample estimates of correlation matrices are typically noisy and conceal underlying dependence patterns. We consider the case when the variables can be grouped into K clusters with exchangeable dependence; t…

We study the adaptive estimation of copula correlation matrix $Σ$ for the semi-parametric elliptical copula model. In this context, the correlations are connected to Kendall's tau through a sine function transformation. Hence, a natural estimate for $Σ$ is the plug-in estimator $\hatΣ$ with Kendall's tau statistic. We …

Kendall transformation converts continuous data into categorical vectors for robust information theory.

There has been an increasing interest in testing the equality of large Pearson's correlation matrices. However, in many applications it is more important to test the equality of large rank-based correlation matrices since they are more robust to outliers and nonlinearity. Unlike the Pearson's case, testing the equality…

The optimal ranking score between precision and recall is rarely F1 and can be found using specific methods.

New estimators reduce computation for Kendall's tau and conditional Kendall's tau matrices under structural assumptions.

Network analysis reveals changing cryptocurrency market leaders.

Nonparametric correlations such as Spearman's rank correlation and Kendall's tau correlation are widely applied in scientific and engineering fields. This paper investigates the problem of computing nonparametric correlations on the fly for streaming data. Standard batch algorithms are generally too slow to handle real…

In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical frame…

We propose a semiparametric approach, named nonparanormal skeptic, for estimating high dimensional undirected graphical models. In terms of modeling, we consider the nonparanormal family proposed by Liu et al (2009). In terms of estimation, we exploit nonparametric rank-based correlation coefficient estimators includin…

Study measures uncertainty in MST identification across different correlation networks.

We propose new positive definite kernels for permutations. First we introduce a weighted version of the Kendall kernel, which allows to weight unequally the contributions of different item pairs in the permutations depending on their ranks. Like the Kendall kernel, we show that the weighted version is invariant to rela…

Permutation-valued features arise in a variety of applications, either in a direct way when preferences are elicited over a collection of items, or an indirect way in which numerical ratings are converted to a ranking. To date, there has been relatively limited study of regression, classification, and testing problems …

New findings challenge the importance of forecast accuracy in battery storage optimization, highlighting the role of rank correlation instead.

We introduce a new family of minmax rank aggregation problems under two distance measures, the Kendall τ and the Spearman footrule. As the problems are NP-hard, we proceed to describe a number of constant-approximation algorithms for solving them. We conclude with illustrative applications of the aggregation methods on…

We propose a number of techniques for obtaining a global ranking from data that may be incomplete and imbalanced -- characteristics almost universal to modern datasets coming from e-commerce and internet applications. We are primarily interested in score or rating-based cardinal data. From raw ranking data, we construc…

New analysis shows interpretability doesn't guarantee steering utility in LLMs.

New method for summarizing ranking distributions using consensus ranking distributions.

We formulate a supervised learning problem, referred to as continuous ranking, where a continuous real-valued label Y is assigned to an observable r.v. X taking its values in a feature space $\mathcal{X}$ and the goal is to order all possible observations x in $\mathcal{X}$ by means of a scoring function $s:\mathcal{X}…

Python tools for 3D shape analysis on Kendall's space.

In this paper, we propose a semiparametric approach, named nonparanormal skeptic, for efficiently and robustly estimating high dimensional undirected graphical models. To achieve modeling flexibility, we consider Gaussian Copula graphical models (or the nonparanormal) as proposed by Liu et al. (2009). To achieve estima…

New algorithm ranks players from partial comparisons with optimal rate.

A new algorithm for parallel transport on shape spaces is presented and compared to existing methods.

We extend the recently introduced theory of Lovasz-Bregman (LB) divergences (Iyer & Bilmes 2012) in several ways. We show that they represent a distortion between a "score" and an "ordering", thus providing a new view of rank aggregation and order based clustering with interesting connections to web ranking. We show ho…

We extend the recently introduced theory of Lovasz-Bregman (LB) divergences (Iyer & Bilmes, 2012) in several ways. We show that they represent a distortion between a 'score' and an 'ordering', thus providing a new view of rank aggregation and order based clustering with interesting connections to web ranking. We show h…

We show how the problem of estimating conditional Kendall's tau can be rewritten as a classification task. Conditional Kendall's tau is a conditional dependence parameter that is a characteristic of a given pair of random variables. The goal is to predict whether the pair is concordant (value of $1$) or discordant (val…

New method reconstructs 3D shapes from 2D images using Kendall's shape space.

Efficiently predict LLM benchmarks using feature selection and regression.

This paper studies a stylized, yet natural, learning-to-rank problem and points out the critical incorrectness of a widely used nearest neighbor algorithm. We consider a model with $n$ agents (users) $\{x_i\}_{i \in [n]}$ and $m$ alternatives (items) $\{y_j\}_{j \in [m]}$, each of which is associated with a latent feat…

We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated from time-varying Kendall correlation matrices computed from stock prices log-returns over rolling windows with exponential smoothing. We ob…

Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a consistent estimator of the correlation coefficient in case of Elliptical copula …

We propose a novel class of time-varying nonparanormal graphical models, which allows us to model high dimensional heavy-tailed systems and the evolution of their latent network structures. Under this model, we develop statistical tests for presence of edges both locally at a fixed index value and globally over a range…

This paper proposes a new class of copulas which characterize the set of all twice continuously differentiable copulas. We show that our proposed new class of copulas is a new generalized copula family that include not only asymmetric copulas but also all smooth copula families available in the current literature. Spea…

New Hermite series estimator for Spearman rank correlation in non-stationary data.

The paper describes correlations of spectra for higher rank Anosov representations.

New tests for conditional copulas based on decision trees.

A new method for Gaussian Processes handles mixed continuous and categorical inputs.

Epilepsy is an important public health issue. An appropriate epileptiform discharge pattern detection of this neurological disease is a typical problem in biomedical engineering. In this paper, a new method is proposed for spike-and-wave discharge pattern detection based on Kendall's Tau-b coefficient. The proposed app…

Copula Discrepancy benchmarks sample dependence structure against known families.

Proposes a method to enhance multi-view learning by maximizing higher order correlations.

Enhances labels from unlabeled data using sample correlations.

This article is devoted to the problem of predicting the value taken by a random permutation $Σ$, describing the preferences of an individual over a set of numbered items $\{1,\; \ldots,\; n\}$ say, based on the observation of an input/explanatory r.v. $X$ e.g. characteristics of the individual), when error is measured…

New methods rank players using covariates and comparisons, outperforming existing algorithms.

A self-supervised debiasing method using rank regularization mitigates spurious correlations in neural networks.