Related papers: Assessing symmetry of financial returns series
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
The problem of binary hypothesis testing between two probability measures is considered. New sharp bounds are derived for the best achievable error probability of such tests based on independent and identically distributed observations.…
In this work, we attempt to refine the classic asymptotic formulae to describe the probability distribution of likelihood-ratio statistical tests. The idea is to split the probability distribution function into two parts. One part is…
Several approaches to testing the hypothesis that two histograms are drawn from the same distribution are investigated. We note that single-sample continuous distribution tests may be adapted to this two-sample grouped data situation. The…
Composite likelihood inference has gained much popularity thanks to its computational manageability and its theoretical properties. Unfortunately, performing composite likelihood ratio tests is inconvenient because of their awkward…
Two separate statistical tests are described and developed in order to test un-binned data sets for adherence to the power-law form. The first test employs the TP-statistic, a function defined to deviate from zero when the sample deviates…
Non-asymptotic theory of random matrices strives to investigate the spectral properties of random matrices, which are valid with high probability for matrices of a large fixed size. Results obtained in this framework find their applications…
The paper considers a paired data framework and discuss the question of marginal homogeneity of bivariate high dimensional or functional data. The related testing problem can be endowed into a more general setting for paired random…
We consider goodness-of-fit tests of symmetric stable distributions based on weighted integrals of the squared distance between the empirical characteristic function of the standardized data and the characteristic function of the standard…
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the…
We present a new framework to address the non-convex robust hypothesis testing problem, wherein the goal is to seek the optimal detector that minimizes the maximum of worst-case type-I and type-II risk functions. The distributional…
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uniqueness, rate of convergence, and the asymptotic…
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…
Assessing goodness of fit to a given distribution plays an important role in computational statistics. The Probability integral transformation (PIT) can be used to convert the question of whether a given sample originates from a reference…
A panel dataset satisfies marginal homogeneity if the time-specific marginal distributions are homogeneous or time-invariant. Marginal homogeneity is relevant in many economic settings, including dynamic discrete games,…
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing…
We present the asymptotic distribution for two-sided tests based on the profile likelihood ratio with lower and upper boundaries on the parameter of interest. This situation is relevant for branching ratios and the elements of unitary…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…