This paper proposes an adjusted-range based self-normalized test for change in correlation. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of the partial sum process as a self-normalizer, and used by Choi and Shin (2020) to...

This paper proposes an adjusted-range based self-normalized tests for changes in correlation coefficient and correlation matrix. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of a partial sum process as the self-normalizer, here we...