Measuring and testing interdependence among random vectors based on Spearman's and Kendall's
From MaRDI portal
Publication:2228222
Recommendations
- Multivariate tests of independence and their application in correlation analysis between financial markets
- Multivariate sign and rank tests for independence
- scientific article; zbMATH DE number 5510901
- Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
- On testing equality of pairwise rank correlations in a multivariate random vector
Cites work
- A Class of Statistics with Asymptotically Normal Distribution
- A multivariate tail covariance measure for elliptical distributions
- A NEW MEASURE OF RANK CORRELATION
- A Note on Average Tau as a Measure of Concordance
- An introduction to copulas.
- Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
- Brownian distance covariance
- scientific article; zbMATH DE number 491591 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 3318346 (Why is no real title available?)
- Kendall's tau and Spearman's rho for \(n\)-dimensional Archimedean copulas and their asymptotic properties
- Measures of the functional dependence of random vectors
- Measuring and testing dependence by correlation of distances
- Measuring association and dependence between random vectors
- Multivariate extensions of Spearman's rho and related statistics
- Multivariate permutation tests
- ON SAMPLING FROM A POPULATION OF RANKERS
- RELATIONS BETWEEN TWO SETS OF VARIATES
- Risk management: Value at risk and beyond
- Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
- Testing for concordance between several criteria
- Testing independence based on Bernstein empirical copula and copula density
- Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
- Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
Cited in
(9)- Detection of block-exchangeable structure in large-scale correlation matrices
- Multivariate tests of independence and their application in correlation analysis between financial markets
- Measuring association and dependence between random vectors
- Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
- Dependence of Stock Returns in Bull and Bear Markets
- Local dependence test between random vectors based on the robust conditional Spearman's and Kendall's
- Copulae: an overview and recent developments
- Large portfolio allocation based on high-dimensional regression and Kendall’s Tau
- Graphical tests of independence for general distributions
This page was built for publication: Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2228222)
