Testing marginal homogeneity in Hilbert spaces with applications to stock market returns
| dc.contributor.author | Ditzhaus, Marc | |
| dc.contributor.author | Gaigall, Daniel | |
| dc.date.accessioned | 2023-06-27T05:28:21Z | |
| dc.date.available | 2023-06-27T05:28:21Z | |
| dc.date.issued | 2022-02-14 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/41843 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-23686 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | TEST;31(3) | |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | de |
| dc.subject | Marginal homogeneity | en |
| dc.subject | Functional data | en |
| dc.subject | Bootstrap test | en |
| dc.subject | U-statistic | en |
| dc.subject | Cramér–von-Mises test | en |
| dc.subject | Stock market return | en |
| dc.subject.ddc | 310 | |
| dc.title | Testing marginal homogeneity in Hilbert spaces with applications to stock market returns | en |
| dc.type | Text | de |
| dc.type.publicationtype | Article | de |
| dcterms.accessRights | open access | |
| eldorado.secondarypublication | true | de |
| eldorado.secondarypublication.primarycitation | Ditzhaus, M., Gaigall, D. Testing marginal homogeneity in Hilbert spaces with applications to stock market returns. TEST 31, 749–770 (2022). https://doi.org/10.1007/s11749-022-00802-5 | de |
| eldorado.secondarypublication.primaryidentifier | https://doi.org/10.1007/s11749-022-00802-5 | de |