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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

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

Abstract

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
Divisions:Science
ID Code:51959
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:01 Feb 2016 11:52
Last Modified:30 Nov 2018 14:57

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