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corTESTsrd (version 1.0-0)
Significance Testing of Rank Cross-Correlations under SRD
Description
Significance test of Spearman's Rho or Kendall's Tau between short-range dependent random variables.
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Version
Version
1.0-0
0.9-2
Install
install.packages('corTESTsrd')
Monthly Downloads
191
Version
1.0-0
License
LGPL (>= 2.1)
Maintainer
David Lun
Last Published
November 17th, 2022
Functions in corTESTsrd (1.0-0)
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kendall_var_independent
Asymptotic variance of estimator of Kendall's Tau between independent iid random variables
corTESTsrd
Significance test of rank cross-correlations
rankacf
Estimator of Spearman autocorrelations
long_run_var_est_kendall_H0
Estimator of long-run variance for Kendall's Tau
spearman_var_independent
Asymptotic variance of estimator of Spearman's Rho between independent iid random variables
long_run_var_est_spearman_H0
Estimator of long-run variance for Spearman's Rho