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

Dominik Wied*, Herold Dehling, Maarten Van Kampen, Daniel Vogel

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

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 and critical values can be obtained without bootstrap techniques. A local power result and an analysis of the behavior of the test in small samples are provided.

Original languageEnglish
Pages (from-to)723-736
Number of pages14
JournalComputational Statistics & Data Analysis
Volume76
Early online date6 Apr 2013
DOIs
Publication statusPublished - Aug 2014

Fingerprint

Spearman's rho
Limit Distribution
Invariance
Fluctuations
Local Power
Cumulative Sum
Financial Data
Invariance Principle
Nuisance Parameter
Null Distribution
Copula
Small Sample
Bootstrap
Asymptotic distribution
Critical value
Moment
Arbitrary

Keywords

  • Copula
  • Mixing
  • Multivariate sequential rank order process
  • Robustness
  • Structural break

ASJC Scopus subject areas

  • Computational Mathematics
  • Computational Theory and Mathematics
  • Statistics and Probability
  • Applied Mathematics

Cite this

A fluctuation test for constant Spearman's rho with nuisance-free limit distribution. / Wied, Dominik; Dehling, Herold; Van Kampen, Maarten; Vogel, Daniel.

In: Computational Statistics & Data Analysis, Vol. 76, 08.2014, p. 723-736.

Research output: Contribution to journalArticle

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