Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25000 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorArnold, Matthiasen
dc.contributor.authorWeißbach, Rafaelen
dc.date.accessioned2007-07-03-
dc.date.accessioned2009-07-23T14:31:32Z-
dc.date.available2009-07-23T14:31:32Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/25000-
dc.description.abstractThis 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
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2007,15en
dc.subject.jelC12en
dc.subject.jelC52en
dc.subject.ddc519en
dc.subject.keywordtesting correlationen
dc.subject.keywordn-p-asymptoticsen
dc.subject.keywordportfolio credit risken
dc.subject.stwKorrelationen
dc.subject.stwStichprobenverfahrenen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwKreditrisikoen
dc.titleTesting large-dimensional correlation-
dc.typeWorking Paperen
dc.identifier.ppn534757693en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200715en

Files in This Item:
File
Size
185.24 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.