Chen, Jia; Hong, Yongmiao; McCabe, Brendan; Sun, Jiajing - 2021
This paper proposes an adjusted-range based self-normalized test for change in correlation. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of the partial sum process as a self-normalizer, and used by Choi and Shin (2020) to...