A self-normalization break test for correlation matrix

DOI10.1007/S00362-020-01188-YMaRDI QIDQ2062385zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A nonparametric test for a constant correlation matrix
• A residual-based multivariate constant correlation test
• A self-normalization test for correlation change
• Bootstrap Standard Error Estimates for Linear Regression
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Moving block bootstrapping for a CUSUM test for correlation change
• Multiple break detection in the correlation structure of random variables
• On the application of new tests for structural changes on global minimum-variance portfolios
• Simple Robust Testing of Regression Hypotheses
• 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 constant correlation of filtered series under structural change
• The dependent wild bootstrap

Cited in

(6)

• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• 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
• A self-normalization test for correlation change
• Subsample scan test for multiple breaks based on self-normalization
• A general panel break test based on the self-normalization method

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