A fluctuation test for constant Spearman's rho with nuisance-free limit distribution

Computational Statistics and Data Analysis

Volumn 76, Issue , 2014, Pages 723-736

  Wied, Dominik ^a   Dehling, Herold ^b   Van Kampen, Maarten ^a,c   Vogel, Daniel ^b  

^a TU DORTMUND UNIVERSITY   (Germany)

^b RUHR UNIVERSITY BOCHUM   (Germany)

^c Ruhr Graduate School in Economics   (Germany)

Author keywords

Copula; Mixing; Multivariate sequential rank order process; Robustness; Structural break

Indexed keywords

COMPUTATIONAL METHODS; DATA HANDLING; MIXING; ROBUSTNESS (CONTROL SYSTEMS);

ARBITRARY DIMENSION; BOOTSTRAP TECHNIQUE; CONSTANT CORRELATIONS; COPULA; INVARIANCE PRINCIPLE; NUISANCE PARAMETER; RANK ORDER; STRUCTURAL BREAK; LIMIT DISTRIBUTION; SPEARMAN'S RHO;

TESTING; MIXING;

EID: 84901295028     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2013.03.005     Document Type: Article

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