A self-normalization break test for correlation matrix (Q2062385)
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scientific article; zbMATH DE number 7450907
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| English | A self-normalization break test for correlation matrix |
scientific article; zbMATH DE number 7450907 |
Statements
A self-normalization break test for correlation matrix (English)
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27 December 2021
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self-normalization
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correlation matrix break
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CUSUM test
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serial dependence
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conditional heteroscedasticity
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unconditional heteroscedasticity
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0.909321904182434
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0.8236815929412842
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0.7268603444099426
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0.7176690697669983
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