Universiti Teknologi Malaysia Institutional Repository

Asymptotic derivation of T* statistic

Sharif, Shamshuritawati and Djauhari, Maman Abdurachman (2014) Asymptotic derivation of T* statistic. AIP Conference Proceedings, 1635 . pp. 912-917. ISSN 0094-243X

Full text not available from this repository.

Official URL: http://dx.doi.org/10.1063/1.4903691


Monitoring the stability of correlation structure becomes an imperative subject in economic development and financial industry. It has been extensively implemented by various researchers to understand the behaviour of a sequence of correlation structures based on independent samples in certain time periods. The existing statistical test can only tackle problems involving p<n. However, it is fails to handle 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 distribution has been investigated to make its application promising.

Item Type:Article
Uncontrolled Keywords:correlation structure, sampling distribution, vec operator
Subjects:Q Science
ID Code:51959
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:01 Feb 2016 11:52
Last Modified:30 Nov 2018 14:57

Repository Staff Only: item control page