Testing for instability in covariance structures

DOI10.3150/16-BEJ894zbMath1388.62258OpenAlexW1510630362MaRDI QIDQ2405201

Chihwa Kao, Lorenzo Trapani, Giovanni Urga

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1501142461

zbMATH Keywords

changepointcovariance matrixCUSUM statisticeigensystem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices ⋮ Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model ⋮ Optimal Gaussian Approximation For Multiple Time Series ⋮ Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models ⋮ 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 ϵ-complexity theory ⋮ Comments on: ``Extensions of some classical methods in change point analysis

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