# Testing the constancy of Spearman’s rho in multivariate time series

@article{Kojadinovic2014TestingTC, title={Testing the constancy of Spearman’s rho in multivariate time series}, author={Ivan Kojadinovic and Jean‐François Quessy and Tom Rohmer}, journal={Annals of the Institute of Statistical Mathematics}, year={2014}, volume={68}, pages={929-954} }

A class of tests for change-point detection designed to be particularly sensitive to changes in the cross-sectional rank correlation of multivariate time series is proposed. The derived procedures are based on several multivariate extensions of Spearman’s rho. Two approaches to carry out the tests are studied: the first one is based on resampling and the second one consists of estimating the asymptotic null distribution. The asymptotic validity of both techniques is proved under the null for…

## 12 Citations

### TESTING FOR CHANGES IN KENDALL’S TAU

- MathematicsEconometric Theory
- 2017

For a bivariate time series ((Xi ,Yi))i=1,...,n, we want to detect whether the correlation between Xi and Yi stays constant for all i = 1,...n. We propose a nonparametric change-point test statistic…

### Testing and dating structural changes in copula-based dependence measures

- MathematicsJournal of applied statistics
- 2022

This paper is concerned with testing and dating structural breaks in the dependence structure of multivariate time series. We consider a cumulative sum (CUSUM) type test for constant copula-based…

### Robust Change Detection in the Dependence Structure of Multivariate Time Series

- Mathematics
- 2015

A robust change-point test based on the spatial sign covariance matrix is proposed. A major advantage of the test is its computational simplicity, making it particularly appealing for robust,…

### Tests for Scale Changes Based on Pairwise Differences

- MathematicsJournal of the American Statistical Association
- 2019

Abstract In many applications it is important to know whether the amount of fluctuation in a series of observations changes over time. In this article, we investigate different tests for detecting…

### Consistent Estimation of Multiple Breakpoints in Dependence Measures

- Computer Science
- 2022

This paper proposes different methods to consistently detect multiple breaks in copulabased dependence measures, mainly focusing on Spearman’s ρ, and concludes that WBS performs best in many, but not in all, situations.

### Robust change point tests by bounded transformations

- Mathematics, Computer Science
- 2019

Simulations indicate that this approach is very powerful in detecting changes in the marginal variance of ARCH processes and outperforms existing proposals for detecting structural breaks in the dependence structure of heavy tailed multivariate time series.

### Detecting breaks in the dependence of multivariate extreme-value distributions

- Mathematics
- 2015

In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a…

### Homogeneity testing of multivariate hydrological records, using multivariate copula L-moments

- MathematicsAdvances in Water Resources
- 2019

### SFB 823 Detecting breaks in the dependence of multivariate extreme-value distributions D iscussion P aper

- Mathematics
- 2015

In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a…

### Title Some Nonparametric Tests for Change-point Detection in Possibly Multivariate Observations

- Mathematics
- 2015

July 24, 2015 Type Package Title Some Nonparametric Tests for Change-Point Detection in Possibly Multivariate Observations Version 0.1-6 Date 2015-07-23 Author Ivan Kojadinovic Maintainer Ivan…

## References

SHOWING 1-10 OF 44 REFERENCES

### Detecting changes in cross-sectional dependence in multivariate time series

- MathematicsJ. Multivar. Anal.
- 2014

### Multivariate Kendall's tau for change‐point detection in copulas

- Mathematics
- 2013

Statistical procedures for the detection of a change in the dependence structure of a series of multivariate observations are studied in this work. The test statistics that are proposed are $L_1$,…

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

- MathematicsComput. Stat. Data Anal.
- 2014

### Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho

- Mathematics
- 2008

Schmid and Schmidt (Stat Probab Lett 77:407–416, 2007) recently described multivariate extensions to the population and sample versions of Spearman’s rank correlation coefficient. In this paper, the…

### Testing for Change Points in Time Series

- Mathematics
- 2010

This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a…

### A fluctuation test for constant Spearman’s rho

- Mathematics
- 2011

We propose a CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman’s rho in arbitrary dimensions. By using copula-based…

### Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique

- MathematicsJ. Multivar. Anal.
- 2013

### Automatic Block-Length Selection for the Dependent Bootstrap

- Computer Science
- 2004

This work proposes practically useful estimators of the optimal block size for the aforementioned block bootstrap methods and proposes a new notion of finite-sample “attainable” relative efficiency based on the notion of spectral estimation via the flat-top lag-windows of Politis and Romano.

### A non-parametric test of independence ∗

- Mathematics
- 2011

We propose a new class of nonparametric tests for the supposition of independence between two continuous random variables X and Y. Given a sample of (X,Y ), the tests are based on the size of the…