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

DOI10.1007/S10463-015-0520-2MaRDI QIDQ314566zbMATH OpenOpenAlexFDO

Authors 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

change-point detectionempirical copulaHAC kernel variance estimatormultiplier central limit theoremspartial-sum processesranksSpearman's rhostrong mixing

Mathematics Subject Classification ID

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

Abstract: A class of tests for change-point detection designed to be particularly sensitive to changes in the cross-sectional rank correlation of multivariate time series is proposed. The derived procedures are based on several multivariate extensions of Spearman's rho. Two approaches to carry out the tests are studied: the first one is based on resampling, the second one consists of estimating the asymptotic null distribution. The asymptotic validity of both techniques is proved under the null for strongly mixing observations. A procedure for estimating a key bandwidth parameter involved in both approaches is proposed, making the derived tests parameter-free. Their finite-sample behavior is investigated through Monte Carlo experiments. Practical recommendations are made and an illustration on trivariate financial data is finally presented.

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Cited in

(8)

• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Detecting breaks in the dependence of multivariate extreme-value distributions
• Testing and dating structural changes in copula-based dependence measures
• Tests for scale changes based on pairwise differences
• Testing for changes in Kendall's tau
• A modified Spearman’s rho parameter-free test statistic for early detection of newly emerging phenomena
• Gradual change-point analysis based on Spearman matrices for multivariate time series
• Consistent Estimation of Multiple Breakpoints in Dependence Measures

Describes a project that uses

Uses Software

• copula
• npcp
• copula
• R

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