long_run_var_est_kendall_H0 {corTESTsrd} | R Documentation |
Estimator of long-run variance for Kendall's Tau
Description
Estimates the long-run variance of the estimator of Kendall's Tau between short-range dependent observations of independent random variables. The expression comes from the asymptotic normal distribution of estimator, see Corollary 2 in Lun et al. (2022).
Usage
long_run_var_est_kendall_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_kendall_H0(x=rnorm(50),y=rnorm(50))
[Package corTESTsrd version 1.0-0 Index]