Testing the constancy of Spearman's rho in multivariate time series

DOI10.1007/s10463-015-0520-2zbMath1400.62184arXiv1407.1624OpenAlexW1979977159MaRDI QIDQ314566

Jean-François Quessy, Tom Rohmer, Ivan Kojadinovic

Publication date: 16 September 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.1624

zbMATH Keywords

ranksstrong mixingempirical copulaSpearman's rhochange-point detectionHAC kernel variance estimatormultiplier central limit theoremspartial-sum processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (4)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Testing and dating structural changes in copula-based dependence measures ⋮ TESTING FOR CHANGES IN KENDALL’S TAU ⋮ Tests for Scale Changes Based on Pairwise Differences

Uses Software

• R
• copula
• npcp
• copula

Cites Work

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