A fluctuation test for constant Spearman’s rho
Date
2011-04-27
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Abstract
We propose a CUSUM type test for constant correlation that goes beyond a
previously suggested correlation constancy test by considering Spearman's rho in
arbitrary dimensions. By using copula-based expressions, we simultaneously extend a previously suggested copula constancy test. We calculate the asymptotic
null distribution 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. We give a local power result and
analyse the test's behaviour in small samples.
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Keywords
copula, mixing, multivariate sequential empirical process, robustness, structural break