A self-normalization break test for correlation matrix

DOI10.1007/S00362-020-01188-YzbMATH Open1482.62088OpenAlexW3035782694MaRDI QIDQ2062385FDOQ2062385

Authors: Ji Eun Choi, Dong Wan Shin 

Publication date: 27 December 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-020-01188-y

Recommendations

• A self-normalization test for correlation change
• A general panel break test based on the self-normalization method
• 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
• Testing for change points in time series using a self-normalization based on Kolmogorov-Smirnov test: an analysis on China Shanghai composite index

zbMATH Keywords

self-normalizationserial dependenceCUSUM testconditional heteroscedasticityunconditional heteroscedasticitycorrelation matrix break

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Inference for multiple change points in time series via likelihood ratio scan statistics
• 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
• Simple Robust Testing of Regression Hypotheses
• The dependent wild bootstrap
• On the application of new tests for structural changes on global minimum-variance portfolios
• Multiple break detection in the correlation structure of random variables
• Bootstrap Standard Error Estimates for Linear Regression
• A residual-based multivariate constant correlation test
• A nonparametric test for a constant correlation matrix
• Moving block bootstrapping for a CUSUM test for correlation change
• A self-normalization test for correlation change
• Testing for constant correlation of filtered series under structural change

Cited In (6)

• A mean-difference test based on self-normalization for alternating regime index data sets
• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• A self-normalization test for structural breaks in a regression model for panel data sets
• A general panel break test based on the self-normalization method
• Subsample scan test for multiple breaks based on self-normalization
• A self-normalization test for correlation change

This page was built for publication: A self-normalization break test for correlation matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2062385)