A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns

Giller, Graham

doi:10.2139/ssrn.1972334

Abstract

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A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns

Graham L. Giller

Giller Investments

October 5, 2010

Abstract:
We present a simple asymptotic statistic to evaluated the independence of factor return series when computed from orthogonal loadings used out-of-sample.

Number of Pages in PDF File: 2

Keywords: factor analysis, correlation, statistics

JEL Classification: C10, C12, C13, C14, C15, G10, G11

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Date posted: December 15, 2011

Suggested Citation

Giller, Graham L., A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns (October 5, 2010). Available at SSRN: http://ssrn.com/abstract=1972334 or http://dx.doi.org/10.2139/ssrn.1972334

Contact Information

Graham L. Giller (Contact Author)

Giller Investments ( email )

121 Red Hill Road
Holmdel, NJ 07733
United States