Authors: | Arnold, Matthias Weißbach, Rafael |
Title: | Testing large dimensional correlation |
Language (ISO): | en |
Abstract: | This paper introduces a test for zero correlation in situations where the correlation matrix is large compared to the sample size. The test statistic is the sum of the squared correlation coe±cients in the sample. We derive its limiting null distribution as the number of variables as well as the sample size converge to infinity. A Monte Carlo simulation finds both size and power for finite samples to be suitable. We apply the test to the vector of default rates, a risk factor in portfolio credit risk, in different sectors of the German economy. |
Subject Headings: | N-p- asymptotics Portfolio credit risk Testing correlation |
URI: | http://hdl.handle.net/2003/24316 http://dx.doi.org/10.17877/DE290R-267 |
Issue Date: | 2007-05-25T12:23:32Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr15-07.pdf | DNB | 185.24 kB | Adobe PDF | View/Open |
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