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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/25000
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| Title: | | Testing large-dimensional correlation  |
| Authors: | | Arnold, Matthias Weißbach, Rafael |
| Issue Date: | | 2007 |
| Series/Report no.: | | Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,15 |
| Abstract: | | 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. |
| Subjects: | | testing correlation n-p-asymptotics portfolio credit risk |
| JEL: | | C12 C52 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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