Related papers: Assessing symmetry of financial returns series
Consider a nonparametric regression model with one-sided errors and regression function in a general H\"older class. We estimate the regression function via minimization of the local integral of a polynomial approximation. We show uniform…
Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some…
This paper proposes a nonparametric test for $m$th-degree inverse stochastic dominance which is a powerful tool for ranking distribution functions according to social welfare. We construct the test based on empirical process theory. The…
We consider the problem of testing for a dose-related effect based on a candidate set of (typically nonlinear) dose-response models using likelihood-ratio tests. For the considered models this reduces to assessing whether the slope…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
In this paper we propose a Bayesian answer to testing problems when the hypotheses are not well separated. The idea of the method is to study the posterior distribution of a discrepancy measure between the parameter and the model we want to…
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…
We consider a permutation method for testing whether observations given in their natural pairing exhibit an unusual level of similarity in situations where any two observations may be similar at some unknown baseline level. Under a null…
In this paper, some recent and classical tests of symmetry are modified for the case of an unknown center. The unknown center is estimated with its $\alpha$-trimmed mean estimator. The asymptotic behavior of the new tests is explored. The…
Fourier analysis and representation of circular distributions in terms of their Fourier coefficients, is quite commonly discussed and used for model-free inference such as testing uniformity and symmetry etc. in dealing with 2-dimensional…
Motivated by population studies of Diffusion Tensor Imaging, the paper investigates the use of mean-based and dispersion-based permutation tests to define and compute the significance of a statistical test for data taking values on…
The main purpose of this paper is to introduce first a new family of empirical test statistics for testing a simple null hypothesis when the vector of parameters of interest are defined through a specific set of unbiased estimating…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
When we use the normal mixture model, the optimal number of the components describing the data should be determined. Testing homogeneity is good for this purpose; however, to construct its theory is challenging, since the test statistic…
In this article, we present a nonparametric method for the general two-sample problem involving functional random variables modelled as elements of a separable Hilbert space ${\cal H}$. First, we present a general recipe based on linear…
In this work, we revisit the one- and two-sample testing problems: binary hypothesis testing in which one or both distributions are unknown. For the one-sample test, we provide a more streamlined proof of the asymptotic optimality of…
We discuss in this paper a possibility of constructing a whole class of asymptotic distribution-free tests for testing regularly varying tail distributions. The idea is that we treat the tails of distributions as members of a parametric…
A new method based on the rejection sampling for finding statistical tests is proposed. This method is conceptually intuitive, easy to implement, and applicable for arbitrary dimension. To illustrate its potential applicability, three…
In this paper, we consider the problem of testing the equality of two multivariate distributions based on geometric graphs constructed using the interpoint distances between the observations. These include the tests based on the minimum…