On Kendall's autocorrelations

Communications in Statistics - Theory and Methods

Volumn 41, Issue 10, 2012, Pages 1733-1738

  Šiman, Miroslav ^a  

^a INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

Author keywords

Autocorrelation; Kendall's tau; Serial rank coefficient

Indexed keywords

KENDALL'S TAU; NULL HYPOTHESIS; RANK COEFFICIENT;

MATHEMATICAL TECHNIQUES; STATISTICS;

AUTOCORRELATION;

EID: 84862878852     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610926.2010.549991     Document Type: Article

References (6)

1. Berkes, I., Horváth, L., Kokoszka, P. (2004). Probabilistic and statistical properties of GARCH processes. Fields Instit. Commun. 44:409-429.
2. Ferguson, T. S., Genest, C., Hallin, M. (2000). Kendall's tau for serial dependence. Can. J. Statist. 28:587-604.
3. Orey, S. (1958). A central limit theorem for m-dependent random variables. Duke Mathemat. J. 25:543-546.
4. Shieh, G. S. (1998). A weighted Kendall's tau statistic. Statist. Probab. Lett. 39:17-24. (Pubitemid 128354678)
5. Šiman, M. (2005). Portmanteau tests based on Kendall's autocorrelation coefficients. In: Proc. 23rd Int. Conf. Mathemat. Meth. Econ., Hradec Králové, Czech Republic.
6. Šiman, M. (2006). On Portmanteau Tests of Randomness. Doctoral thesis, Faculty of Mathematics and Physics, Charles University in Prague.