Testing for Changes in the Rank Correlation of Time Series

Herold Dehling, Daniel Vogel, Martin Wendler, Dominik Wied

Type: Preprint

Publication Date: 2012-03-22

Citations: 13

Locations

arXiv (Cornell University) - View

Similar Works

Action	Title	Year	Authors
+	Testing for Changes in Kendall's Tau	2012	Herold Dehling Daniel Vogel Martin Wendler Dominik Wied
+ PDF Chat	TESTING FOR CHANGES IN KENDALL’S TAU	2016	Herold Dehling Daniel Vogel Martin Wendler Dominik Wied
+	An efficient and robust test for a change-point in correlation	2012	Herold Dehling Daniel Vogel Martin Wendler Dominik Wied
+	Asymptotic Change-Point Analysis of the Dependencies in TimeSeries	2016	Christoph Heuser
+ PDF Chat	Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data	2019	Shiqing Ling Ruey S. Tsay Yaxing Yang
+ PDF Chat	Testing the constancy of Spearman’s rho in multivariate time series	2015	Ivan Kojadinovic Jean‐François Quessy Tom Rohmer
+	Testing the constancy of Spearman's rho in multivariate time series	2014	Ivan Kojadinovic Jean‐François Quessy Tom Rohmer
+	Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test	2014	Annika Betken
+	Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test	2014	Annika Betken
+	Kendall's tau for serial dependence	2000	Marc Hallin Thomas S. Ferguson Christian Genest
+	Kendall's tau for serial dependence	2000	Marc Hallin Thomas S. Ferguson Christian Genest
+	Tests for Scale Changes Based on Pairwise Differences	2019	Carina Gerstenberger Daniel Vogel Martin Wendler
+ PDF Chat	Change Point Analysis of Correlation in Non-stationary Time Series	2017	Holger Dette Weichi Wu Zhou Zhou
+	Change Point Analysis of Correlation in Non-stationary Time Series	2018	Holger Dette Weichi Wu Zhou Zhou
+ PDF Chat	Tests for Scale Changes Based on Pairwise Differences	2019	Carina Gerstenberger Daniel Vogel Martin Wendler
+	Gradual change-point analysis based on Spearman matrices for multivariate time series	2024	Jean‐François Quessy
+ PDF Chat	Testing for Change‐Points in Long‐Range Dependent Time Series by Means of a Self‐Normalized Wilcoxon Test	2016	Annika Betken
+	Kendall's tau for serial dependence	2000	Thomas S. Ferguson Christian Genest Marc Hallin
+	Uniform change point tests in high dimension	2015	Moritz Jirak
+	Rank-based change-point analysis for long-range dependent time series	2020	Annika Betken Martin Wendler

Works That Cite This (11)

Action	Title	Year	Authors
+	Studentized U-quantile processes under dependence with applications to change-point analysis	2015	Daniel Vogel Martin Wendler
+	Studentized sequential U-quantiles under dependence with applications to change-point analysis	2015	Daniel Vogel Martin Wendler
+ PDF Chat	Testing the constancy of Spearman’s rho in multivariate time series	2015	Ivan Kojadinovic Jean‐François Quessy Tom Rohmer
+ PDF Chat	Dependent multiplier bootstraps for non-degenerate <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si68.gif" display="inline" overflow="scroll"><mml:mi>U</mml:mi></mml:math>-statistics under mixing conditions with applications	2015	Axel Bücher Ivan Kojadinovic
+ PDF Chat	Detecting breaks in the dependence of multivariate extreme-value distributions	2016	Axel Bücher Paul Kinsvater Ivan Kojadinovic
+ PDF Chat	Dependent multiplier bootstraps for non-degenerate U-statistics under mixing conditions with applications	2016	Axel Bücher Ivan Kojadinovic
+	Studentized U-quantile processes under dependence with applications to change-point analysis	2017	Daniel Vogel Martin Wendler
+	Robust Change Detection in the Dependence Structure of Multivariate Time Series	2015	Daniel Vogel Roland Fried
+ PDF Chat	A nonparametric test for a constant correlation matrix	2014	Dominik Wied
+ PDF Chat	A Nonparametric Test for a Constant Correlation Matrix	2013	Dominik Wied

Works Cited by This (16)

Action	Title	Year	Authors
+	Weak Convergence and Empirical Processes: With Applications to Statistics	1996	Jon A. Wellner
+	Limit theorems in change-point analysis	1997	Miklós Csörgő Lajos Horváth
+ PDF Chat	Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation	2001	Svetlana Borovkova Robert Burton Herold Dehling
+	Some Limit Theorems for Stationary Processes	1962	И. А. Ибрагимов
+	Tests for change—points based on recursive u—statistics	1983	Pranab Kumar Sen
+	Rigorous statistical procedures for data from dynamical systems	1986	Manfred Denker Gerhard Keller
+ PDF Chat	Influence functions of the Spearman and Kendall correlation measures	2010	Christophe Croux Catherine Dehon
+ PDF Chat	Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices	2000	Robert M. de Jong James Davidson
+	U-Statistics for Change under Alternatives	2001	Edit Gombay
+ PDF Chat	Asymptotic Distributions of Multivariate Rank Order Statistics	1976	Ludger Rüschendorf