kendall_var_independent

Calculates the asymptotic variance of the estimator of Kendall's Tau between iid observations
of independent random variables. The expression comes from the asymptotic normal distribution of the estimator,
see e.g. equation 2.30 in chapter 11 of Gibbons and Chakraborti (2003).

internal

Significance test of Spearman's Rho or Kendall's Tau
between short-range dependent random variables.

David Lun

corTESTsrd

Significance Testing of Rank Cross-Correlations under SRD

Svenja Fischer

Alberto Viglione

kendall_var_independent function

<dl><dt>n</dt>
<dd>number of observations, should be integer bigger than 0.</dd></dl>

Arguments

Asymptotic variance of estimator of Kendall's Tau between independent iid random variables — kendall_var_independent

<dl>

<dt>n</dt>
<dd>number of observations, should be integer bigger than 0.</dd>

</dl>

kendall_var_independent: Asymptotic variance of estimator of Kendall's Tau between independent iid random variables

Description

Usage

Value

Arguments

References

Examples