Arbeitspapier
Testing large-dimensional correlation
This paper introduces a test for zero correlation in situations where the correlation matrix is large compared to the sample size. The test statistic is the sum of the squared correlation coefficients in the sample. We derive its limiting null distribution as the number of variables as well as the sample size converge to infinity. A Monte Carlo simulation finds both size and power for finite samples to be suitable. We apply the test to the vector of default rates, a risk factor in portfolio credit risk, in different sectors of the German economy.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2007,15
- Klassifikation
-
Hypothesis Testing: General
Model Evaluation, Validation, and Selection
- Thema
-
testing correlation
n-p-asymptotics
portfolio credit risk
Korrelation
Stichprobenverfahren
Statistischer Test
Theorie
Schätzung
Kreditrisiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Arnold, Matthias
Weißbach, Rafael
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Arnold, Matthias
- Weißbach, Rafael
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2007
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