Dating multiple change points in the correlation matrix

DOI10.1007/S11749-016-0513-3MaRDI QIDQ1694371zbMATH OpenOpenAlexFDO

Authors Pedro Galeano, Dominik Wied

Publication date 1 February 2018

Published in Test (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/33114

zbMATH Keywords

nonparametric estimationcorrelation matrixCUSUM statisticsbinary segmentation algorithmfinancial returnsmultiple change point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Multiple break detection in the correlation structure of random variables
• A nonparametric test for a constant correlation matrix
• Monitoring correlation change in a sequence of random variables
• Change point analysis of correlation in non-stationary time series
• Testing for a change in correlation at an unknown point in time using an extended functional delta method

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Break detection in the covariance structure of multivariate time series models
• Estimating and Testing Linear Models with Multiple Structural Changes
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Moment consistency of the exchangeably weighted bootstrap for semiparametric M-estimation
• Stochastic Limit Theory
• Structural breaks in time series
• The asymptotic behavior of some nonparametric change-point estimators

Cited in

(4)

• Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC
• Consistent Estimation of Multiple Breakpoints in Dependence Measures
• A residual-based multivariate constant correlation test
• Kernel change point detection based on convergent cross mapping

Describes a project that uses

Uses Software

• basta
• wbs

This page was built for publication: Dating multiple change points in the correlation matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1694371)