TESTING FOR CHANGES IN KENDALL'S TAU

Dehling, H; Vogel, D; Wendler, M; Wied, D

Vogel, D (reprint author), Univ Aberdeen, Inst Complex Syst & Math Biol, Aberdeen AB24 3UE, Scotland.

ECONOMETRIC THEORY, 2017; 33 (6): 1352

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, ... ......

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