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Multivariate Kendall's tau for change-point detection in copulas

✍ Scribed by Jean-François Quessy; Mériem Saïd; Anne-Catherine Favre

Book ID
115554540
Publisher
John Wiley and Sons
Year
2012
Tongue
French
Weight
262 KB
Volume
41
Category
Article
ISSN
0319-5724

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A method for testing the equivalence of two modi\_ed Kendall|s tau nonparametric correlation coe.cients\ neither necessarily equal to zero\ is presented[ Several estimators of the variance of t ¼ mod were evaluated using simulation[ A bootstrap estimate\ the standard null!case variance estimate\ and