Monitoring correlation change in a sequence of random variables
| dc.contributor.author | Galeano, Pedro | |
| dc.contributor.author | Wied, Dominik | |
| dc.date.accessioned | 2012-03-29T08:11:34Z | |
| dc.date.available | 2012-03-29T08:11:34Z | |
| dc.date.issued | 2012-03-29 | |
| dc.description.abstract | We propose a monitoring procedure to test for the constancy of the correlation coefficient of a sequence of random variables. The idea of the method is that a historical sample is available and the goal is to monitor for changes in the correlation as new data become available. We introduce a detector which is based on the first hitting time of a CUSUM-type statistic over a suitably constructed threshold function. We derive the asymptotic distribution of the detector and show that the procedure detects a change with probability approaching unity as the length of the historical period increases. The method is illustrated by Monte Carlo experiments and the analysis of a real application with the log-returns of the Standard & Poor's 500 (S&P 500) and IBM stock assets. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/29399 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-3416 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823 ; 12/2012 | en |
| dc.subject | correlation changes | en |
| dc.subject | Gaussian process | en |
| dc.subject | online detection | en |
| dc.subject | threshold function | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Monitoring correlation change in a sequence of random variables | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |