Hilliard, Jimmy E.; Barksdale, Hiram C. - In: Management Science 22 (1976) 11, pp. 1273-1281
In cross-spectral analysis, the tau statistic is used to infer lead-lag relationships between series in the time domain. Unfortunately, it is frequently inferred that tau is meaningful only when the phase diagram is linear. In this paper it is shown that tau is far more robust than is generally...
