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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25000
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Arnold, Matthias | | en_US |
| dc.contributor.author | | Weißbach, Rafael | | en_US |
| dc.date.accessioned | | 2007-07-03 | | en_US |
| dc.date.accessioned | | 2009-07-23T14:31:32Z | | - |
| dc.date.available | | 2009-07-23T14:31:32Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25000 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., SFB 475 Dortmund | | en_US |
| dc.relation.ispartofseries | | Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,15 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.ddc | | 310 | | en_US |
| dc.subject.keyword | | testing correlation | | en_US |
| dc.subject.keyword | | n-p-asymptotics | | en_US |
| dc.subject.keyword | | portfolio credit risk | | en_US |
| dc.subject.stw | | Korrelation | | en_US |
| dc.subject.stw | | Stichprobenverfahren | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.title | | Testing large-dimensional correlation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 534757693 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb475:200715 | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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