Testing for instability in covariance structures
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Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- Break detection in the covariance structure of multivariate time series models
- Testing constancy of the error covariance matrix in vector models
- Exact test for breaks in covariance in multivariate regressions
- Covariance changes detection in multivariate time series
- Large-sample approximations and change testing for high-dimensional covariance matrices of multivariate linear time series and factor models
Cited in
(17)- Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
- Exact test for breaks in covariance in multivariate regressions
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
- Testing constancy of the error covariance matrix in vector models
- Large-sample approximations and change testing for high-dimensional covariance matrices of multivariate linear time series and factor models
- Optimal Gaussian approximation for multiple time series
- Principal Component Analysis of High-Frequency Data
- Structural breaks in panel data: large number of panels and short length time series
- Model-free classification of panel data via the -complexity theory
- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Comments on: ``Extensions of some classical methods in change point analysis
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data
- Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
- Structural break analysis for spectrum and trace of covariance operators
- Detecting spectral breaks in spiked covariance models
- Difference-based covariance matrix estimation in time series nonparametric regression with application to specification tests
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