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

@article{Wied2014AFT,
  title={A fluctuation test for constant Spearman's rho with nuisance-free limit distribution},
  author={Dominik Wied and Herold Dehling and Maarten van Kampen and Daniel Vogel},
  journal={Computational Statistics & Data Analysis},
  year={2014},
  volume={76},
  pages={723-736}
}
A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman’s rho in arbitrary dimensions is proposed. Since the new test does not require the existence of any moments, the applicability on usually heavy-tailed financial data is greatly improved. The asymptotic null distribution is calculated using an invariance principle for the sequential empirical copula process. The limit distribution is free of nuisance parameters… CONTINUE READING

Figures, Tables, and Topics from this paper.

Explore Further: Topics Discussed in This Paper

References

Publications referenced by this paper.
SHOWING 1-10 OF 25 REFERENCES

The distribution of returns of stock prices,

  • L. Amaral, V. Plerou, P. Gopikrishan, M. Meyer, H. Stanley
  • International Journal of Theoretical and Applied…
  • 2000
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…