Testing for instability in covariance structures
We propose a test for the stability over time of the covariance matrix of multivariate time series. The analysis is extended to the eigensystem to ascertain changes due to instability in the eigenvalues and/or eigenvectors. Using strong Invariance Principles and Law of Large Numbers, we normalise th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Bernoulli Society for Mathematical Statistics and Probability
2017
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| Online Access: | http://eprints.nottingham.ac.uk/46942/ http://eprints.nottingham.ac.uk/46942/ http://eprints.nottingham.ac.uk/46942/ http://eprints.nottingham.ac.uk/46942/1/BEJ894.pdf |