Likelihood procedure for testing changes in skew normal model with applications to stock returns

DOI10.1080/03610918.2016.1212067zbMath1384.62057OpenAlexW2508056651MaRDI QIDQ4607336

Khamis K. Said, Wei Ning, Yu-Bin Tian

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1212067

zbMATH Keywords

likelihood ratio testchange point problemskew normal distributionbinary segmentation method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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Likelihood ratio test change-point detection in the skew slash distribution ⋮ Reverse stress testing in skew-elliptical models ⋮ Bootstrap approaches for homogeneous test of location parameters under skew-normal settings

Uses Software

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Cites Work

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