RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2000 Volume 45, Issue 2, Pages 236–250 (Mi tvp461)
This article is cited in 1 paper

Multivariate rank correlations: a Gaussian field on a direct product of spheres

V. I. Piterbarg, Yu. N. Tyurin

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: An asymptotic decision rule of testing for the independence of components of a random vector is suggested. The rule is based on ranking of linear coordinates of observations and on application of Roy's “union-intersection principle”.

Keywords: multivariate sample ranks, Kendall's tau, weak convergence.

Received: 26.08.1997

DOI: 10.4213/tvp461


 English version: Theory of Probability and its Applications, 2001, 45:2, 246–257

Bibliographic databases:

© Steklov Math. Inst. of RAS, 2024