Tests of serial independence based on Kendall's process

DOI10.2307/3316147zbMath1016.62051OpenAlexW2049529522MaRDI QIDQ4801846

Bruno Rémillard, Jean-François Quessy, Christian Genest

Publication date: 21 August 2003

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3316147

zbMATH Keywords

time seriesempirical processKendall's tauautocorrelationCramer-von Mises statisticsSpearman's rhorank testKolmogorov-Smirnov statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes (62M99)

Related Items (8)

A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models ⋮ Tests of independence and randomness based on the empirical copula process ⋮ Some asymptotic results for the number of generalized records ⋮ Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ On a new goodness-of-fit process for families of copulas ⋮ On blest's measure of rank correlation ⋮ Tests of serial dependence for multivariate time series with arbitrary distributions

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