On testing equality of pairwise rank correlations in a multivariate random vector

DOI10.1016/j.jmva.2010.07.008zbMath1198.62053MaRDI QIDQ604373

Sandra Gaißer, Friedrich Schmid

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.07.008

zbMATH Keywords

copula; nonparametric bootstrap; empirical copula; Spearman's rho; asymptotic test theory; measure of dependence

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62H15: Hypothesis testing in multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G09: Nonparametric statistical resampling methods

Related Items

A general framework for testing homogeneity hypotheses about copulas, Monitoring test for stability of copula parameter in time series

Uses Software

• QRM
• bootstrap

Cites Work

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