A self-normalization test for correlation change

DOI10.1016/J.ECONLET.2019.02.007zbMath1452.62398OpenAlexW2918458965WikidataQ128289143 ScholiaQ128289143MaRDI QIDQ2208630

Dong Wan Shin, Ji-Eun Choi

Publication date: 3 November 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.02.007

zbMATH Keywords

serial dependenceself-normalizationCUSUM testconditional heteroscedasticitycorrelation break

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (5)

A general panel break test based on the self-normalization method ⋮ 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 ⋮ A self-normalization break test for correlation matrix

Cites Work

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• Testing That a Dependent Process Is Uncorrelated
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• Testing for Change Points in Time Series
• Self-Normalization for Time Series: A Review of Recent Developments
• Nonmonotonic power for tests of a mean shift in a time series§
• A nonparametric test for a constant correlation matrix

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