A self-normalization break test for correlation matrix

DOI10.1007/s00362-020-01188-yzbMath1482.62088OpenAlexW3035782694MaRDI QIDQ2062385

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

serial dependenceself-normalizationCUSUM 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)

Related Items (2)

Subsample scan test for multiple breaks based on self-normalization ⋮ Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach

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