A self-normalization break test for correlation matrix
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Publication:2062385
DOI10.1007/S00362-020-01188-YzbMath1482.62088OpenAlexW3035782694MaRDI QIDQ2062385
Publication date: 27 December 2021
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-020-01188-y
serial dependenceself-normalizationCUSUM testconditional heteroscedasticityunconditional heteroscedasticitycorrelation matrix break
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Subsample scan test for multiple breaks based on self-normalization ⋮ Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach ⋮ A self-normalization test for structural breaks in a regression model for panel data sets
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