A self-normalization break test for correlation matrix
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DOI: 10.1007/s00362-020-01188-y
Abstract: We construct a new test for correlation matrix break based on the self-normalization method. The self-normalization test has practical advantage over the existing test: easy and stable implementation; not having the singularity issue and the… read more here.
Keywords: correlation matrix; test correlation; self normalization; test ... See more keywords