45 citations · 124 across the 11 of their papers we have counts for
4 papers · 1 filter
A nonparametric test for a constant correlation matrix
Dominik Wied
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence s…
Multiple break detection in the correlation structure of random variables
Pedro Galeano, Dominik Wied
Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial r…
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
Dominik Wied, Herold Dehling, Maarten van Kampen +1
A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman's rho in arbitrary dimensions is proposed. Sin…
Testing for Changes in Kendall's Tau
Herold Dehling, Daniel Vogel, Martin Wendler +1
For a bivariate time series we want to detect whether the correlation between and stays constant for all . We propose a nonparame…