A nonparametric test for a constant correlation matrix
From MaRDI portal
Recommendations
- Dating multiple change points in the correlation matrix
- A residual-based multivariate constant correlation test
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- A test for constant correlations in a multivariate GARCH model
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
Cites work
- A simple nonparametric test for structural change in joint tail probabilities
- Bootstrap for the sample mean and for \(U\)-statistics of mixing and near-epoch dependent processes
- Break detection in the covariance structure of multivariate time series models
- Change point detection in copula ARMA-GARCH models
- Consistency of the stationary bootstrap under weak moment conditions
- Covariance changes detection in multivariate time series
- scientific article; zbMATH DE number 3766903 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Moment consistency of the exchangeably weighted bootstrap for semiparametric M-estimation
- Monitoring correlation change in a sequence of random variables
- Necessary and sufficient conditions for the moving blocks bootstrap central limit theorem of the mean
- On testing equality of pairwise rank correlations in a multivariate random vector
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing the equality of covariance operators in functional samples
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- The Cusum Test for Parameter Change in Time Series Models
- The jackknife and the bootstrap for general stationary observations
- Theoretical comparisons of block bootstrap methods
- Weak convergence and empirical processes. With applications to statistics
Cited in
(12)- A residual-based multivariate constant correlation test
- Dating multiple change points in the correlation matrix
- Moving block bootstrapping for a CUSUM test for correlation change
- A self-normalization break test for correlation matrix
- Change point analysis of covariance functions: a weighted cumulative sum approach
- Nonparametric estimation of time varying correlation coefficient
- A self-normalization test for correlation change
- 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
- Efficient change point detection and estimation in high-dimensional correlation matrices
- A break test for the tail-event correlation matrix based on the self-normalization method
- Time-varying hierarchical Archimedean copulas: a non-parametric approach
This page was built for publication: A nonparametric test for a constant correlation matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864634)
