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On Testing Correlation Matrices

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  • S. Kullback

Abstract

Procedures and illustrative examples are given to test a null hypothesis specifying the population correlation matrix and the homogeneity of several independent sample correlation matrices.

Suggested Citation

  • S. Kullback, 1967. "On Testing Correlation Matrices," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 16(1), pages 80-85, March.
    • Handle: RePEc:bla:jorssc:v:16:y:1967:i:1:p:80-85
    DOI: 10.2307/2985240
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    Cited by:

    1. Ayaz Ahmed, 1998. "Stock Market Interlinkages in Emerging Markets," PIDE Research Report 1998:159, Pakistan Institute of Development Economics.
    2. Matthias Fischer, 2007. "Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes," SFB 649 Discussion Papers SFB649DP2007-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Fischer, Matthias J., 2006. "Testing for constant correlation by means of trigonometric functions," Discussion Papers 74/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    4. Brechmann, Eike C. & Joe, Harry, 2014. "Parsimonious parameterization of correlation matrices using truncated vines and factor analysis," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 233-251.
    5. Deepak Nag Ayyala & Anindya Roy & Junyong Park & Rao P. Gullapalli, 2018. "Adjusting for Confounders in Cross-correlation Analysis: an Application to Resting State Networks," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 123-150, May.

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