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Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
Authors:Zvi Lerman  Edna Schechtman
Affiliation:Department of Agricultural Economics and Management , Faculty of Agriculture of the Hebrew University , Rehovot, Israel
Abstract:We consider the problem of testing the hypothesis that the correlation coefficient is stable in a sequence of n observations of independent, bivariate normal random variables against the alternative that the correlation coefficient changes after an unknown point t(t < n). We propose an estimate of the changepoint t and report on power comparisons between the commonly used test for this problem and our proposed test. Some applications to finance are discussed.
Keywords:Fisher's Z-transformation Monte Carlo power comparison
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