Hong, Yongmiao; Sun, Jiajing; Chen, Jia; McCabe, Brendan - 2022
This paper proposes an adjusted-range based self-normalized tests for changes in correlation coefficient and … correlation matrix. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance … instead. Similar to the self-normalized correlation change statistics in Choi and Shin (2020a) and Choi and Shin (2020b), our …