Related papers: Assessing symmetry of financial returns series
In this paper, we develop a simple non-parametric test for testing normal distribution based on the distance between empirical zero-bias transformation and empirical distribution. The asymptotic properties of the test statistic are studied.…
We revisit the problem of testing for multivariate reflected symmetry about an unspecified point. Although this testing problem is invariant with respect to full-rank affine transformations, among the hitherto few proposed tests only the…
Nonparametric tests for equality of multivariate distributions are frequently desired in research. It is commonly required that test-procedures based on relatively small samples of vectors accurately control the corresponding Type I Error…
The object of study is the problem of testing for uniformity of the multinomial distribution. We consider tests based on symmetric statistics, defined as the sum of some function of cell-frequencies. Mainly, attention is focused on the…
The field of property testing of probability distributions, or distribution testing, aims to provide fast and (most likely) correct answers to questions pertaining to specific aspects of very large datasets. In this work, we consider a…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns using the ex ante probability distributions underlying the…
Testing hypotheses of goodness-of-fit about mixture distributions on the basis of independent but not necessarily identically distributed random vectors is considered. The hypotheses are given by a specific distribution or by a family of…
Bayesian tests on the symmetry of the generalized von Mises model for planar directions (Gatto and Jammalamadaka, 2007) are introduced. The generalized von Mises distribution is a flexible model that can be axially symmetric or asymmetric,…
Log symmetric distributions are useful in modeling data which show high skewness and have found applications in various fields. Using a recent characterization for log symmetric distributions, we propose a goodness of fit test for testing…
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, after which the…
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
Let \{X_1, X_2, ...\} be a sequence of independent and identically distributed positive random variables of Pareto-type with index \alpha>0 and let \{N(t); t\geq 0\} be a counting process independent of the X_i's. For any fixed t\geq 0,…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
We provide a distribution-free test that can be used to determine whether any two joint distributions $p$ and $q$ are statistically different by inspection of a large enough set of samples. Following recent efforts from Long et al. [1], we…
In spatial statistics, point processes are often assumed to be isotropic meaning that their distribution is invariant under rotations. Statistical tests for the null hypothesis of isotropy found in the literature are based either on…
Two new test statistics are introduced to test the null hypotheses that the sampling distribution has an increasing hazard rate on a specified interval [0,a]. These statistics are empirical L_1-type distances between the isotonic estimates,…
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns…
Assume that we have a random sample from an absolutely continuous distribution (univariate, or multivariate) with a known functional form and some unknown parameters. In this paper, we have studied several parametric tests based on…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…