Testing large dimensional correlation
| dc.contributor.author | Arnold, Matthias | |
| dc.contributor.author | Weißbach, Rafael | |
| dc.date.accessioned | 2007-05-25T12:23:32Z | |
| dc.date.available | 2007-05-25T12:23:32Z | |
| dc.date.issued | 2007-05-25T12:23:32Z | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/24316 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-267 | |
| dc.language.iso | en | de |
| dc.subject | N-p- asymptotics | en |
| dc.subject | Portfolio credit risk | en |
| dc.subject | Testing correlation | en |
| dc.subject.ddc | 004 | |
| dc.title | Testing large dimensional correlation | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |