A self-normalization test for correlation change

DOI10.1016/J.ECONLET.2019.02.007MaRDI QIDQ2208630zbMATH OpenOpenAlexWikidataFDO

Authors Ji Eun Choi, Dong Wan Shin

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

self-normalizationserial dependenceCUSUM testconditional heteroscedasticitycorrelation break

Mathematics Subject Classification ID

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

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Cites work

• A mean-difference test based on self-normalization for alternating regime index data sets
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• A nonparametric test for a constant correlation matrix
• A self-normalization test for a change-point in the shape parameter of a gamma distributed sequence
• Break detection in the covariance structure of multivariate time series models
• Covariance changes detection in multivariate time series
• Forecasting realized volatility: a review
• Multiple break detection in the correlation structure of random variables
• Nonmonotonic power for tests of a mean shift in a time series§
• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• Self-Normalization for Time Series: A Review of Recent Developments
• Simple Robust Testing of Regression Hypotheses
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Testing That a Dependent Process Is Uncorrelated
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• Testing for change points in time series
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test

Cited in

(10)

• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• A self-normalization break test for correlation matrix
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• A mean-difference test based on self-normalization for alternating regime index data sets
• A self-normalization test for structural breaks in a regression model for panel data sets
• Subsample scan test for multiple breaks based on self-normalization
• A general panel break test based on the self-normalization method
• Testing for change points in time series using a self-normalization based on Kolmogorov-Smirnov test: an analysis on China Shanghai composite index
• Moving block bootstrapping for a CUSUM test for correlation change

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