Independence Test for High Dimensional Random Vectors
Сохранить в:
| Опубликовано в:: | arXiv.org (May 30, 2012), p. n/a |
|---|---|
| Главный автор: | |
| Другие авторы: | , , |
| Опубликовано: |
Cornell University Library, arXiv.org
|
| Предметы: | |
| Online-ссылка: | Citation/Abstract Full text outside of ProQuest |
| Метки: |
Нет меток, Требуется 1-ая метка записи!
|
MARC
| LEADER | 00000nab a2200000uu 4500 | ||
|---|---|---|---|
| 001 | 2086446356 | ||
| 003 | UK-CbPIL | ||
| 022 | |a 2331-8422 | ||
| 035 | |a 2086446356 | ||
| 045 | 0 | |b d20120530 | |
| 100 | 1 | |a Pan, G M | |
| 245 | 1 | |a Independence Test for High Dimensional Random Vectors | |
| 260 | |b Cornell University Library, arXiv.org |c May 30, 2012 | ||
| 513 | |a Working Paper | ||
| 520 | 3 | |a This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under the null and local alternative hypotheses are established as dimensionality and the sample size of the data are comparable. We apply this test to examine multiple MA(1) and AR(1) models, panel data models with some spatial cross-sectional structures. In addition, in a flexible applied fashion, the proposed test can capture some dependent but uncorrelated structures, for example, nonlinear MA(1) models, multiple ARCH(1) models and vandermonde matrices. Simulation results are provided for detecting these dependent structures. An empirical study of dependence between closed stock prices of several companies from New York Stock Exchange (NYSE) demonstrates that the feature of cross--sectional dependence is popular in stock markets. | |
| 610 | 4 | |a New York Stock Exchange--NYSE | |
| 653 | |a Estimating techniques | ||
| 653 | |a Covariance matrix | ||
| 653 | |a Spatial data | ||
| 653 | |a Arches | ||
| 653 | |a Stock exchanges | ||
| 653 | |a Characteristic functions | ||
| 653 | |a Dependence | ||
| 653 | |a Computer simulation | ||
| 653 | |a Economic models | ||
| 700 | 1 | |a Gao, J | |
| 700 | 1 | |a Yang, Y | |
| 700 | 1 | |a Guo, M | |
| 773 | 0 | |t arXiv.org |g (May 30, 2012), p. n/a | |
| 786 | 0 | |d ProQuest |t Engineering Database | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/2086446356/abstract/embedded/6A8EOT78XXH2IG52?source=fedsrch |
| 856 | 4 | 0 | |3 Full text outside of ProQuest |u http://arxiv.org/abs/1205.6607 |