Asymptotic derivation of T statistic

Monitoring the stability of correlation structure becomes an imperative subject in economicdevelopment and financial industry. It has been extensively implemented by various researchers tounderstand the behaviour of a sequence of correlation structures based on independent samples in certaintime per...

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Bibliographic Details
Published inAIP conference proceedings Vol. 1635; no. 1
Main Authors Sharif Shamshuritawati, Djauhari, Maman A
Format Conference Proceeding
LanguageEnglish
Published Melville American Institute of Physics 04.12.2014
Subjects
Covariance matrix
Statistical analysis
Statistical methods
Statistical tests
Structural stability
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Summary:Monitoring the stability of correlation structure becomes an imperative subject in economicdevelopment and financial industry. It has been extensively implemented by various researchers tounderstand the behaviour of a sequence of correlation structures based on independent samples in certaintime periods. The existing statistical test can only tackle problems involving p<n. However, it is fails tohandle p>n due to the inversion of covariance matrix. Therefore, in this paper we introduced T* statistics,constructed based on upper-off-diagonal elements to overwhelm that difficulty. The limitation distributionhas been investigated to make its application promising.
Bibliography:ObjectType-Conference Proceeding-1
SourceType-Conference Papers & Proceedings-1
content type line 21
ISSN:0094-243X
1551-7616
DOI:10.1063/1.4903691