Testing the constancy of Spearman's rho in multivariate time series (Q314566): Difference between revisions
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| Property / author: Ivan Kojadinovic / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 6628070 / rank | |||
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change-point detection | |||
| Property / zbMATH Keywords: change-point detection / rank | |||
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empirical copula | |||
| Property / zbMATH Keywords: empirical copula / rank | |||
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HAC kernel variance estimator | |||
| Property / zbMATH Keywords: HAC kernel variance estimator / rank | |||
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multiplier central limit theorems | |||
| Property / zbMATH Keywords: multiplier central limit theorems / rank | |||
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partial-sum processes | |||
| Property / zbMATH Keywords: partial-sum processes / rank | |||
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ranks | |||
| Property / zbMATH Keywords: ranks / rank | |||
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Spearman's rho | |||
| Property / zbMATH Keywords: Spearman's rho / rank | |||
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strong mixing | |||
| Property / zbMATH Keywords: strong mixing / rank | |||
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Revision as of 00:41, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing the constancy of Spearman's rho in multivariate time series |
scientific article |
Statements
Testing the constancy of Spearman's rho in multivariate time series (English)
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16 September 2016
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change-point detection
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empirical copula
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HAC kernel variance estimator
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multiplier central limit theorems
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partial-sum processes
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ranks
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Spearman's rho
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strong mixing
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