Some critical remarks on Zhang's gamma test for independence
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References listed on IDEAS
- Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate conditional versions of Spearman's rho and related measures of tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1123-1140, July.
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Keywordstest on dependence; rank correlation test; Spearman's p; copula; Lehmann ordering;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-ETS-2011-12-13 (Econometric Time Series)
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