An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
From MaRDI portal
Publication:5592755
DOI10.2307/2284596zbMath0196.21803OpenAlexW4232999705MaRDI QIDQ5592755
Publication date: 1970
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2284596
Related Items (20)
A robust test for comparing correlation matrices ⋮ Testing the equality of correlation matrices when sample correlation matrices are dependent ⋮ Testing the equality of several intraclass correlation coefficients ⋮ The asymptotic variance matrices of the sample correlation matrix in elliptical and normal situations and their proportionality ⋮ Compact matrix expressions for generalized Wald tests of equality of moment vectors ⋮ The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix ⋮ Jump robust daily covariance estimation by disentangling variance and correlation components ⋮ A new fluctuation test for constant variances with applications to finance ⋮ Testing equality of correlation coefficients in two populations via permutation methods ⋮ On the treatment of correlation structures as covariance structures ⋮ Tests of homogeneity of means and covariance matrices for multivariate incomplete data ⋮ Inferences on correlation coefficients in some classes of nonnormal distributions ⋮ Spurious correlation under fractional integration in output series ⋮ Adjusting for confounders in cross-correlation analysis: an application to resting state networks ⋮ Long-run wavelet-based correlation for financial time series ⋮ Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange ⋮ Design and analysis of incomplete multitrait-multimethod studies from a multiplicative perspective ⋮ Testing the equality of correlation matrices ⋮ Test for high-dimensional correlation matrices ⋮ Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
This page was built for publication: An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
