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Kendall's tau for serial dependence

Marc Hallin (), Thomas S. Ferguson and Christian Genest

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: The authors show how Kendall's tau can be adapted to test against serial dependence in a univariate time series context. They provide formulas for the mean and variance of circular and noncircular versions of this statistic, and they prove its asymptotic normality under the hypothesis of independence. They present also a Monte Carlo study comparing the power and size of a test based on Kendall's tau with the power and size of competing procedures based on alternative parametric and nonparametric measures of serial dependence. In particular, their simulations indicate that Kendall's tau outperforms Spearman's rho in detecting first-order autoregressive dependence, despite the fact that these two statistics are asymptotically equivalent under the null hypothesis, as well as under local alternatives.

Date: 2000-09
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Published in: Canadian Journal of Statistics (2000) v.28 n° 3,p.587-604

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