Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신동완 | * |
dc.date.accessioned | 2019-03-27T16:30:10Z | - |
dc.date.available | 2019-03-27T16:30:10Z | - |
dc.date.issued | 2019 | * |
dc.identifier.issn | 0167-9473 | * |
dc.identifier.other | OAK-24481 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/249534 | - |
dc.description.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. | * |
dc.language | English | * |
dc.publisher | Elsevier B.V. | * |
dc.subject | Bootstrap test | * |
dc.subject | Conditional heteroscedasticity | * |
dc.subject | CUSUM test | * |
dc.subject | Moving block bootstrapping | * |
dc.subject | Serially correlation | * |
dc.title | Moving block bootstrapping for a CUSUM test for correlation change | * |
dc.type | Article | * |
dc.relation.volume | 135 | * |
dc.relation.index | SCIE | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 95 | * |
dc.relation.lastpage | 106 | * |
dc.relation.journaltitle | Computational Statistics and Data Analysis | * |
dc.identifier.doi | 10.1016/j.csda.2018.10.016 | * |
dc.identifier.wosid | WOS:000463301900007 | * |
dc.identifier.scopusid | 2-s2.0-85061634785 | * |
dc.author.google | Choi J.-E. | * |
dc.author.google | Shin D.W. | * |
dc.contributor.scopusid | 신동완(7403352539) | * |
dc.date.modifydate | 20240116115756 | * |