A fluctuation test for constant Spearman’s rho

dc.contributor.author	Dehling, Herold
dc.contributor.author	Kampen, Maarten van
dc.contributor.author	Vogel, Daniel
dc.contributor.author	Wied, Dominik
dc.date.accessioned	2011-04-27T14:29:12Z
dc.date.available	2011-04-27T14:29:12Z
dc.date.issued	2011-04-27
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/27711
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-450
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;16/2011	en
dc.subject	copula	en
dc.subject	mixing	en
dc.subject	multivariate sequential empirical process	en
dc.subject	robustness	en
dc.subject	structural break	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	A fluctuation test for constant Spearman’s rho	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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