EstDepSerial: Kendall's tau and Spearman's rho statistics for testing...

In MixedIndTests: Tests of Randomness and Tests of Independence

Kendall's tau and Spearman's rho statistics for testing randomness in a univariate time series

Description

This function computes Kendall's tau and Spearman's rho statistics for tests of randomness in a time series with arbitrary distribution for pairs (X[i],X[i+k]), k=1:lags

Usage

EstDepSerial(x, lag, graph = FALSE)

Arguments

x	Time series
lag	Number of lags
graph	Set to TRUE for a dependogram for Kendall's tau and Spearman;s rho

Value

stat	List of Kendall's tau and Spearman's rho statistics from multilinear copula, and test combinations LB
pvalue	P-values for the tests statistics

References

B.R Nasri (2022). Tests of serial dependence for arbitrary distributions

Examples

out <-EstDepSerial(SimAR1Poisson(c(5,0.4),100),10)

MixedIndTests documentation built on May 29, 2024, 12:19 p.m.