An Extreme-Value Approach for Testing the Equality of Large U-Statistic Based Correlation Matrices
نویسندگان
چکیده
An Extreme-Value Approach for Testing the Equality of Large U-Statistic Based Correlation Matrices CHENG ZHOU FANG HAN XIN-SHENG ZHANG1,† HAN LIU3,‡ Department of Statistics, Management School, Fudan University, Shanghai, China. E-mail: [email protected]; †[email protected] Department of Statistics, University of Washington, Seattle, WA 98195, USA. E-mail: [email protected] Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ 08544, USA. E-mail: ‡[email protected]
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