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Moving block bootstrapping for a CUSUM test for correlation change

Title
Moving block bootstrapping for a CUSUM test for correlation change
Authors
Choi J.-E.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2019
Journal Title
Computational Statistics and Data Analysis
ISSN
0167-9473JCR Link
Citation
Computational Statistics and Data Analysis vol. 135, pp. 95 - 106
Keywords
Bootstrap testConditional heteroscedasticityCUSUM testMoving block bootstrappingSerially correlation
Publisher
Elsevier B.V.
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
Based on the test of Wied et al. (2012), we construct a bootstrapping CUSUM test for correlation change. The bootstrap test uses the bootstrap critical value obtained from the distribution of the moving block bootstrap samples. The asymptotic null distribution of the bootstrap test is shown to be the same as that of the original test. Consistency of the bootstrap test is proved under an alternative hypothesis of a correlation change. A Monte Carlo simulation shows that the proposed bootstrap test has a good size performance while the existing tests have serious size distortion for conditionally heteroscedastic samples and for serially correlated samples. The better size of the bootstrap test than the existing tests is achieved at the cost of some power loss in some cases. © 2019 Elsevier B.V.
DOI
10.1016/j.csda.2018.10.016
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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