On testing equality of pairwise rank correlations in a multivariate random vector

DOI10.1016/J.JMVA.2010.07.008zbMath1198.62053OpenAlexW1986072575MaRDI QIDQ604373

Sandra Gaißer, Friedrich Schmid

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.07.008

zbMATH Keywords

copulanonparametric bootstrapempirical copulaSpearman's rhoasymptotic test theorymeasure of dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Nonparametric statistical resampling methods (62G09)

Related Items (7)

A general framework for testing homogeneity hypotheses about copulas ⋮ A fluctuation test for constant Spearman's rho with nuisance-free limit distribution ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Monitoring test for stability of copula parameter in time series ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ A nonparametric test for a constant correlation matrix

Uses Software

• QRM
• bootstrap

Cites Work

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