Testing Kendall's τ for a large class of dependent sequences - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Testing Kendall's τ for a large class of dependent sequences

Sinda Ammous
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Résumé

Let (X i , Y i) i∈Z be a stationary sequence of R 2-valued random variables. To test if X 1 and Y 1 are correlated in the sense of Kendall, we propose a robust correction of the usual Kendall test, valid for a large class of dependent sequences. We also show that the condition on the dependency coefficients is optimal in a certain sense, and we illustrate our results trough different sets of simulation.
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Dates et versions

hal-02320387 , version 1 (18-10-2019)

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  • HAL Id : hal-02320387 , version 1

Citer

Sinda Ammous. Testing Kendall's τ for a large class of dependent sequences. 2019. ⟨hal-02320387⟩
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