Multivariate tests of independence and their application in correlation analysis between financial markets

DOI10.1016/J.JMVA.2020.104652zbMATH Open1468.62296OpenAlexW3040447491MaRDI QIDQ2196137FDOQ2196137

XiaoXu Zhang, Binghui Liu, Long Feng

Publication date: 28 August 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104652

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zbMATH Keywords

asymptotic normalityKendall's taumultivariate \(t\)-distributionSpearman's rhoelliptically symmetric distributionmixture normal distributionsmultivariate sign tests for independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84) Financial markets (91G15)

Cites Work

• Covariance regularization by thresholding
• Two sample tests for high-dimensional covariance matrices
• On the Independence of k Sets of Normally Distributed Statistical Variables
• A two-sample test for high-dimensional data with applications to gene-set testing
• Multivariate spatial sign and rank methods
• Title not available (Why is that?)
• A practical affine equivariant multivariate median
• Testing independence in high dimensions with sums of rank correlations
• A High-Dimensional Nonparametric Multivariate Test for Mean Vector
• Tests for High Dimensional Generalized Linear Models
• On high-dimensional sign tests
• Multivariate Nonparametric Tests of Independence
• Sign test of independence between two random vectors.
• Multivariate sign-based high-dimensional tests for sphericity
• Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
• Testing the structure of the covariance matrix with fewer observations than the dimension
• Independence test for high dimensional data based on regularized canonical correlation coefficients
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• High-dimensional rank tests for sphericity
• Testing the independence of sets of large-dimensional variables
• Testing for independence of large dimensional vectors

Cited In (2)

• Fourier methods for testing multivariate independence
• A class of robust independence tests based on weighted integrals of empirical characteristic functions

Uses Software

• MNM

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