Related papers: Assessing symmetry of financial returns series
We select the $n$ stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the $k$ trading days of our database from the stock price time series. We study the ensemble return…
In shape-constrained nonparametric inference, it is often necessary to perform preliminary tests to verify whether a probability mass function (p.m.f.) satisfies qualitative constraints such as monotonicity, convexity, or in general…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may…
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of non-extensive Tsallis statistics or superstatistics. For…
A nonparametric anomalous hypothesis testing problem is investigated, in which there are totally n sequences with s anomalous sequences to be detected. Each typical sequence contains m independent and identically distributed (i.i.d.)…
Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown quantities. This method has been applied to the case of…
Common approaches to inference for structural and reduced-form parameters in empirical economic analysis are based on the consistency and the root-n asymptotic normality of the GMM and M estimators. The canonical consistency (respectively,…
The comparison of a parameter in $k$ populations is a classical problem in statistics. Testing for the equality of means or variances are typical examples. Most procedures designed to deal with this problem assume that $k$ is fixed and that…
In this paper, we develop optimal tests for symmetry on the hyper-dimensional torus, leveraging Le Cam's methodology. We address both scenarios where the center of symmetry is known and where it is unknown. These tests are not only valid…
This thesis aims to establish notions of symmetry for quantum states and channels as well as describe algorithms to test for these properties on quantum computers. Ideally, the work will serve as a self-contained overview of the subject. We…
This paper presents a procedure for testing the hypothesis that the underlying distribution of the data is elliptical when using robust location and scatter estimators instead of the sample mean and covariance matrix. Under mild assumptions…
Classical two-sample permutation tests for equality of distributions have exact size in finite samples, but they fail to control size for testing equality of parameters that summarize each distribution. This paper proposes permutation tests…
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…
We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…
Motivated by applications to goodness of fit testing, the empirical likelihood approach is generalized to allow for the number of constraints to grow with the sample size and for the constraints to use estimated criteria functions. The…
The circular uniform distribution on the unit circle is closed under summation, that is, the sum of independent circular uniformly distributed random variables is also circular uniformly distributed. In this study, it is shown that a family…
We consider the problem of testing whether a multivariate distribution is axially symmetric about some unknown direction. Under a simple-spectrum assumption on the covariance matrix, any symmetry axis must coincide with an eigenvector of…
Continuous and strictly positive data that exhibit skewness and outliers frequently arise in many applied disciplines. Log-symmetric distributions provide a flexible framework for modeling such data. In this article, we develop new…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…