Universität zu Köln

Galeano, Pedro ORCID: 0000-0003-2577-2747 and Wied, Dominik (2017). Dating multiple change points in the correlation matrix. Test, 26 (2). S. 331 - 353. NEW YORK: SPRINGER. ISSN 1863-8260

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Abstract

A nonparametric procedure for detecting and dating multiple change points in the correlation matrix of sequences of random variables is proposed. The procedure is based on a recently proposed test for changes in correlation matrices at an unknown point in time. Although the procedure requires constant expectations and variances, only mild assumptions on the serial dependence structure are assumed. The convergence rate of the change point estimators is derived and the asymptotic validity of the procedure is proved. Moreover, the performance of the proposed algorithm in finite samples is illustrated by means of a simulation study and the analysis of a real data example with financial returns. These examples show that the algorithm has large power in finite samples.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Galeano, Pedro UNSPECIFIED orcid.org/0000-0003-2577-2747 UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-230374
DOI:	10.1007/s11749-016-0513-3
Journal or Publication Title:	Test
Volume:	26
Number:	2
Page Range:	S. 331 - 353
Date:	2017
Publisher:	SPRINGER
Place of Publication:	NEW YORK
ISSN:	1863-8260
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language BINARY SEGMENTATION; CUMULATIVE SUMS; BREAK DETECTION; PARAMETERS; BOOTSTRAP; MODELS Multiple languages Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/23037