long_run_var_est_spearman_H0

Estimates the long-run variance of the estimator of Spearman's Rho between short-range dependent observations
of independent random variables. The expression comes from the asymptotic normal distribution of the estimator, see Corollary 2 in Lun et al. (2022).

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

long_run_var_est_spearman_H0 function

<dl><dt>x</dt>
<dd>numeric input vector.</dd>
<dt>y</dt>
<dd>numeric input vector.</dd>
<dt>kernelf</dt>
<dd>kernel-function that should be used in the estimation procedure.</dd>
<dt>bwf</dt>
<dd>function for choosing the bandwidth based on the sample size that is used in the estimation procedure.</dd></dl>

Arguments

Estimator of long-run variance for Spearman's Rho — long_run_var_est_spearman_H0

<dl>

<dt>x</dt>
<dd>numeric input vector.</dd>


<dt>y</dt>
<dd>numeric input vector.</dd>


<dt>kernelf</dt>
<dd>kernel-function that should be used in the estimation procedure.</dd>


<dt>bwf</dt>
<dd>function for choosing the bandwidth based on the sample size that is used in the estimation procedure.</dd>

</dl>

long_run_var_est_spearman_H0: Estimator of long-run variance for Spearman's Rho

Description

Usage

Value

Arguments

References

Examples