Nonparametric estimation of time varying correlation coefficient

DOI10.1007/S42952-020-00073-6MaRDI QIDQ2131990zbMATH OpenOpenAlexFDO

Authors Ji Eun Choi, Dong Wan Shin

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-020-00073-6

zbMATH Keywords

confidence intervalnonparametric estimationstatistical testtime varying correlation coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1471715 (Why is no real title available?)
• A nonparametric test for a constant correlation matrix
• An Effective Bandwidth Selector for Local Least Squares Regression
• Asymptotic Confidence Regions for Kernel Smoothing of a Varying-Coefficient Model with Longitudinal Data
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Estimation of semi-varying coefficient models with nonstationary regressors
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Local Gaussian Autocorrelation and Tests for Serial Independence
• Local Gaussian correlation: a new measure of dependence
• Local empirical likelihood inference for varying-coefficient density-ratio models based on case-control data
• Multiple break detection in the correlation structure of random variables
• Nonparametric quantile estimations for dynamic smooth coefficient models
• Nonparametric regression with correlated errors.
• On the Cox Model With Time-Varying Regression Coefficients
• Semiparametric estimation of partially varying-coefficient dynamic panel data models
• Testing for a change in correlation at an unknown point in time using an extended functional delta method

Cited in

(9)

• scientific article; zbMATH DE number 2059722 (Why is no real title available?)
• Curve of correlation for time series
• Testing for correlation between two time series using a parametric bootstrap
• Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization
• timevarcorr
• Non-parametric estimation of copula parameters: testing for time-varying correlation
• A novel approach for nonstationary time series analysis with time-invariant correlation coefficient
• Parametric nonstationary correlation models
• Technique for determining the correlation coefficient for non-stationary time series

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