A nonparametric test for a constant correlation matrix

DOI10.1080/07474938.2014.998152OpenAlexW3124876697MaRDI QIDQ5864634

Dominik Wied

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1412

zbMATH Keywords

Gaussian processfunctional delta methodlocal powerfluctuation test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (9)

Nonparametric estimation of time varying correlation coefficient ⋮ A residual-based multivariate constant correlation test ⋮ Subsample scan test for multiple breaks based on self-normalization ⋮ Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach ⋮ Efficient change point detection and estimation in high-dimensional correlation matrices ⋮ A self-normalization test for correlation change ⋮ Moving block bootstrapping for a CUSUM test for correlation change ⋮ A self-normalization break test for correlation matrix ⋮ Change point analysis of covariance functions: a weighted cumulative sum approach

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