Kendall's tau for serial dependence

DOI10.2307/3315967zbMath0958.62083OpenAlexW1983074539MaRDI QIDQ4527901

Christian Genest, Marc Hallin, Thomas S. Ferguson

Publication date: 8 April 2001

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/08d1a2318bbbff21a04f66bca9b3096a7c7b7114

zbMATH Keywords

time seriesasymptotic relative efficiencyKendall's tauautocorrelationSpearman's rhotests of independencerank procedures

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (26)

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Cites Work

• Linear serial rank tests for randomness against ARMA alternatives
• Some robust exact results on sample autocorrelations and tests of randomness
• Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
• Permutational extreme values of autocorrelation coefficients and a Pitman test against serial dependence
• On spectral estimation for a homogeneous random process on the circle
• The Efficiency of Some Nonparametric Competitors of the $t$-Test
• On a measure of lack of fit in time series models
• Rank correlation and product-moment correlation
• The Relation Between Measures of Correlation in the Universe of Sample Permutations
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