A fluctuation test for constant correlation

dc.contributor.authorArnold, Matthiasde
dc.contributor.authorWied, Dominikde
dc.date.accessioned2009-10-29T10:05:23Z
dc.date.available2009-10-29T10:05:23Z
dc.date.issued2009-07-01de
dc.description.abstractWe propose a new test for constant correlation. It bases on successively estimated correlations and compares these with the estimated correlation of the whole data set. In contrast to existing tests for this problem, our test does not require that possible change points are known or that there is normality in the data. To derive the asymptotic null distribution, we develop a generalized delta-method on function spaces. Here, the considered random function is not multiplied by a scalar, but by another function. To achieve this, we generalize the concept of Hadamard differentiability. We show analytically that the test has non-trivial power against local alternatives. A simulation study confirms our analytical findings.en
dc.identifier.urihttp://hdl.handle.net/2003/26478
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-750
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823; 3/2009de
dc.subjectBrownian motionen
dc.subjectDelta-methoden
dc.subjectdiversification meltdownen
dc.subjectHadamard differentiabilityen
dc.subjectstructural breaken
dc.subject.ddc310de
dc.subject.ddc330de
dc.subject.ddc620de
dc.titleA fluctuation test for constant correlationen
dc.typeTextde
dc.type.publicationtypereportde
dcterms.accessRightsopen access

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