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… 
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