Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10003894122
Persistent link: https://www.econbiz.de/10003193432
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 of a partial sum process as the self-normalizer, here we...
Persistent link: https://www.econbiz.de/10013290143
Persistent link: https://www.econbiz.de/10008661679
Persistent link: https://www.econbiz.de/10012149280
Persistent link: https://www.econbiz.de/10011821631