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Mann-Kendall Modified test

3.0 | 3 ratings Rate this file 14 Downloads (last 30 days) File Size: 2.44 KB File ID: #25533 Version: 1.0

Mann-Kendall Modified test



Mann-Kendall non-parametric trend test modified to account for autocorrelations.

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The code performs two tailed Mann-Kendall test modified to account for autocorrelation on the time series (Hamed and Rao, 1998).
The null hypothesis of trend absence in the vector V is tested, against the alternative of trend. The result of the test is returned in H = 1 indicates a rejection of the null hypothesis at the alpha significance level. H = 0 indicates a failure to reject the null hypothesis at the alpha significance level.

Required Products GARCH Toolbox
Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.5 (R2007b)
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Comments and Ratings (6)
06 Nov 2016 M Bateni

in complement to comment of Jens Wilhelmi and Md. Manjurul, if you don't want ranks for tied values to be not averaged, you can use [~,~,I]=unique(V).

Comment only
12 Mar 2016 Md. Manjurul

Jens Wilhelmi is right. Line 70

"[V,I]=sort(V); %% I = ranks"

is replace by

"I = tiedrank(V);"

Comment only
23 Sep 2014 Jens Wilhelmi

There seems to be a bug in
line 70:
[V,I]=sort(V); %% I = ranks

IMHO the variable "I" contains the indexes of the values of "V"
rather than the ranks.
From my side of view
I = tiedrank(V);
should be used here instead.

Comment only
23 Sep 2014 Jens Wilhelmi

23 May 2012 david

david (view profile)

15 May 2010 cai onion

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