Testing for instability in covariance structures

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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...

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Bibliographic Details
Main Authors:	Kao, Chihwa, Trapani, Lorenzo, Urga, Giovanni
Format:	Article
Published:	Bernoulli Society for Mathematical Statistics and Probability 2017
Subjects:	changepoint; covariance matrix; CUSUM statistic; eigensystem
Online Access:	https://eprints.nottingham.ac.uk/46942/

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