A fluctuation test for constant Spearman's rho with nuisance-free limit distribution

DOI10.1016/j.csda.2013.03.005zbMath1506.62191arXiv1206.5070OpenAlexW2054812473MaRDI QIDQ1623567

Maarten van Kampen, Daniel Vogel, Dominik Wied, Herold G. Dehling

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.5070

zbMATH Keywords

copularobustnessmixingstructural breakmultivariate sequential rank order process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Testing the constancy of Spearman's rho in multivariate time series, Testing and dating structural changes in copula-based dependence measures, Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series, Nonparametric tests for constant tail dependence with an application to energy and finance, Testing for structural breaks in factor copula models, Detecting changes in cross-sectional dependence in multivariate time series, Extensions of some classical methods in change point analysis, TESTING FOR CHANGES IN KENDALL’S TAU

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