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arXiv · 1407.1624

Testing the constancy of Spearman's rho in multivariate time series

Ivan Kojadinovic·Jean-François Quessy·Tom Rohmer
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Abstract

A class of tests for change-point detection designed to be particularly sensitive to changes in the cross-sectional rank correlation of multivariate time series is proposed. The derived procedures are based on several multivariate extensions of Spearman's rho. Two approaches to carry out the tests are studied: the first one is based on resampling, the second one consists of estimating the asymptotic null distribution. The asymptotic validity of both techniques is proved under the null for strongly mixing observations. A procedure for estimating a key bandwidth parameter involved in both approaches is proposed, making the derived tests parameter-free. Their finite-sample behavior is investigated through Monte Carlo experiments. Practical recommendations are made and an illustration on trivariate financial data is finally presented.

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Ivan Kojadinovic, Jean-François Quessy, Tom Rohmer. 2015-02-26. Testing the constancy of Spearman's rho in multivariate time series. https://arxiv.org/abs/1407.1624

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