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

In corTESTsrd: Significance Testing of Rank Cross-Correlations under SRD

Estimator of long-run variance for Spearman's Rho

Description

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).

Usage

long_run_var_est_spearman_H0(x, y,
           kernelf=function(z) {return(ifelse(abs(z) <= 1,(1 - z^2)^2, 0))},
           bwf=function(nnn){3*nnn^(1/4)})

Arguments

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

Value

Estimate of long-run variance of estimator.

References

D. Lun, S. Fischer, A. Viglione, and G. Blöschl, Significance testing of rank cross-correlations between autocorrelated time series with short-range dependence, Journal of Applied Statistics, 2022, 1-17. doi: 10.1080/02664763.2022.2137115.

Examples

long_run_var_est_spearman_H0(x=rnorm(50),y=rnorm(50))

corTESTsrd documentation built on Nov. 17, 2022, 5:06 p.m.