Authors: | Ditzhaus, Marc Gaigall, Daniel |
Title: | Testing marginal homogeneity in Hilbert spaces with applications to stock market returns |
Language (ISO): | en |
Abstract: | This paper considers a paired data framework and discusses 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 variables taking values in a general Hilbert space. To address this problem, a Cramér–von-Mises type test statistic is applied and a bootstrap procedure is suggested to obtain critical values and finally a consistent test. The desired properties of a bootstrap test can be derived that are asymptotic exactness under the null hypothesis and consistency under alternatives. Simulations show the quality of the test in the finite sample case. A possible application is the comparison of two possibly dependent stock market returns based on functional data. The approach is demonstrated based on historical data for different stock market indices. |
Subject Headings: | Marginal homogeneity Functional data Bootstrap test U-statistic Cramér–von-Mises test Stock market return |
URI: | http://hdl.handle.net/2003/41843 http://dx.doi.org/10.17877/DE290R-23686 |
Issue Date: | 2022-02-14 |
Rights link: | https://creativecommons.org/licenses/by/4.0/ |
Appears in Collections: | Institut für Mathematische Statistik und industrielle Anwendungen |
Files in This Item:
File | Description | Size | Format | |
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s11749-022-00802-5.pdf | DNB | 466.73 kB | Adobe PDF | View/Open |
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