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

DOI10.1016/j.jmva.2020.104652zbMath1468.62296OpenAlexW3040447491MaRDI QIDQ2196137

Binghui Liu, Long Feng, XiaoXu Zhang

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Uses Software

• MNM

Cites Work

• Unnamed Item
• Two sample tests for high-dimensional covariance matrices
• On high-dimensional sign tests
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• Testing the structure of the covariance matrix with fewer observations than the dimension
• High-dimensional rank tests for sphericity
• Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
• Covariance regularization by thresholding
• Sign test of independence between two random vectors.
• Testing independence in high dimensions with sums of rank correlations
• Testing the independence of sets of large-dimensional variables
• Testing for independence of large dimensional vectors
• Independence test for high dimensional data based on regularized canonical correlation coefficients
• A two-sample test for high-dimensional data with applications to gene-set testing
• Multivariate spatial sign and rank methods
• A practical affine equivariant multivariate median
• On the Independence of k Sets of Normally Distributed Statistical Variables
• A High-Dimensional Nonparametric Multivariate Test for Mean Vector
• Tests for High Dimensional Generalized Linear Models
• Multivariate sign-based high-dimensional tests for sphericity
• Multivariate Nonparametric Tests of Independence

This page was built for publication: Multivariate tests of independence and their application in correlation analysis between financial markets