Testing the constancy of Spearman's rho in multivariate time series (Q314566)
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scientific article
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| English | Testing the constancy of Spearman's rho in multivariate time series |
scientific article |
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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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0.8689015
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0.8667773
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0.8616177
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0.85842526
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0.8555625
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0.8555172
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0.85354966
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