Dehling, Herold, Vogel, Daniel, Wendler, Martin and Wied, Dominik (2017). TESTING FOR CHANGES IN KENDALL'S TAU. Economet. Theory, 33 (6). S. 1352 - 1387. NEW YORK: CAMBRIDGE UNIV PRESS. ISSN 1469-4360

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Abstract

For a bivariate time series ((X-i, Y-i))(i=1, ... , n), we want to detect whether the correlation between Xi and Yi stays constant for all i = 1, ... , n. We propose a nonparametric change-point test statistic based on Kendall's tau. The asymptotic distribution under the null hypothesis of no change follows from a new U-statistic invariance principle for dependent processes. Assuming a single change-point, we show that the location of the change-point is consistently estimated. Kendall's tau possesses a high efficiency at the normal distribution, as compared to the normal maximum likelihood estimator, Pearson's moment correlation. Contrary to Pearson's correlation coefficient, it shows no loss in efficiency at heavy-tailed distributions, and is therefore particularly suited for financial data, where heavy tails are common. We assume the data ((X-i, Y-i))(i=1, ... , n) to be stationary and P-near epoch dependent on an absolutely regular process. The P-near epoch dependence condition constitutes a generalization of the usually considered L-p-near epoch dependence allowing for arbitrarily heavy-tailed data. We investigate the test numerically, compare it to previous proposals, and illustrate its application with two real-life data examples.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Dehling, HeroldUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Vogel, DanielUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Wendler, MartinUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Wied, DominikUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-210670
DOI: 10.1017/S026646661600044X
Journal or Publication Title: Economet. Theory
Volume: 33
Number: 6
Page Range: S. 1352 - 1387
Date: 2017
Publisher: CAMBRIDGE UNIV PRESS
Place of Publication: NEW YORK
ISSN: 1469-4360
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
MULTIVARIATE TIME-SERIES; U-STATISTICS; LIMIT-THEOREMS; SPEARMANS RHO; DEPENDENCE; STATIONARY; POINTMultiple languages
Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & ProbabilityMultiple languages
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/21067

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