The Limiting Distribution of the Maximum Rank Correlation Estimator
The Limiting Distribution of the Maximum Rank Correlation Estimator
Han's maximum rank correlation (MRC) estimator is shown to be √ n-consistent and asymptotically normal.The proof rests on a general method for determining the asymptotic distribution of a maximization estimator, a simple U-statistic decomposition, and a uniform bound for degenerate U-processes.A consistent estimator of the asymptotic covariance matrix is provided, …