A residual-based multivariate constant correlation test

DOI10.1007/S00184-018-0675-YMaRDI QIDQ1669884zbMATH OpenOpenAlexFDO

Authors Fang Duan, Dominik Wied

Publication date 4 September 2018

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-018-0675-y

zbMATH Keywords

correlationhypothesis testingstructural breaksresidual effect

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• A new fluctuation test for constant variances with applications to finance
• A nonparametric test for a constant correlation matrix
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• Bootstrapping GMM estimators for time series
• Break detection in the covariance structure of multivariate time series models
• Dating multiple change points in the correlation matrix
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• Large Sample Properties of Generalized Method of Moments Estimators
• Multiple break detection in the correlation structure of random variables
• Resampling methods for dependent data
• Stochastic Limit Theory
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• The Cusum Test with Ols Residuals
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Theoretical comparisons of block bootstrap methods

Cited in

(6)

• A self-normalization break test for correlation matrix
• A test for constant correlations in a multivariate GARCH model
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Multiple break detection in the correlation structure of random variables
• Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
• Special issue with papers from the ``3rd workshop on goodness-of-fit and change-point problems

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