Asymptotic derivation of T* statistic

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...

Full description

Saved in:

Bibliographic Details
Main Authors:	Sharif, Shamshuritawati, Djauhari, Maman Abdurachman
Format:	Article
Published:	American Institute of Physics Inc. 2014
Subjects:	Q Science
Online Access:	http://eprints.utm.my/id/eprint/51959/ http://dx.doi.org/10.1063/1.4903691
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Universiti Teknologi Malaysia

id	my.utm.51959
record_format	eprints
spelling	my.utm.519592018-11-30T06:57:41Z http://eprints.utm.my/id/eprint/51959/ Asymptotic derivation of T* statistic Sharif, Shamshuritawati Djauhari, Maman Abdurachman Q Science 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. American Institute of Physics Inc. 2014 Article PeerReviewed Sharif, Shamshuritawati and Djauhari, Maman Abdurachman (2014) Asymptotic derivation of T* statistic. AIP Conference Proceedings, 1635 . pp. 912-917. ISSN 0094-243X http://dx.doi.org/10.1063/1.4903691
institution	Universiti Teknologi Malaysia
building	UTM Library
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universiti Teknologi Malaysia
content_source	UTM Institutional Repository
url_provider	http://eprints.utm.my/
topic	Q Science
spellingShingle	Q Science Sharif, Shamshuritawati Djauhari, Maman Abdurachman Asymptotic derivation of T* statistic
description	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.
format	Article
author	Sharif, Shamshuritawati Djauhari, Maman Abdurachman
author_facet	Sharif, Shamshuritawati Djauhari, Maman Abdurachman
author_sort	Sharif, Shamshuritawati
title	Asymptotic derivation of T* statistic
title_short	Asymptotic derivation of T* statistic
title_full	Asymptotic derivation of T* statistic
title_fullStr	Asymptotic derivation of T* statistic
title_full_unstemmed	Asymptotic derivation of T* statistic
title_sort	asymptotic derivation of t* statistic
publisher	American Institute of Physics Inc.
publishDate	2014
url	http://eprints.utm.my/id/eprint/51959/ http://dx.doi.org/10.1063/1.4903691
_version_	1643653112825643008

Asymptotic derivation of T* statistic

Similar Items