  A restrictive assumption in change point analysis is "stationarity under the
null hypothesis of no change-point", which is crucial for asymptotic theory but
not very realistic from a practical point of view. For example, if change point
analysis for correlations is performed, it is not necessarily clear that the
mean, marginal variance or higher order moments are constant, even if there is
no change in the correlation. This paper develops change point analysis for the
correlation structures under less restrictive assumptions. In contrast to
previous work, our approach does not require that the mean, variance and fourth
order joint cumulants are constant under the null hypothesis. Moreover, we also
address the problem of detecting relevant change points.
