Moving block bootstrapping for a CUSUM test for correlation change

DOI10.1016/j.csda.2018.10.016OpenAlexW2914475510WikidataQ128439150 ScholiaQ128439150MaRDI QIDQ1738004

Dong Wan Shin, Ji-Eun Choi

Publication date: 29 March 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.10.016

zbMATH Keywords

bootstrap testCUSUM testconditional heteroscedasticitymoving block bootstrappingserially correlation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (2)

A general panel break test based on the self-normalization method ⋮ A self-normalization break test for correlation matrix

Cites Work

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• A nonparametric test for a constant correlation matrix

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