A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data

DOI10.1080/03610918.2011.654030zbMath1347.62070OpenAlexW2078933127MaRDI QIDQ4921591

Alicia Graziosi Strandberg, Boris Iglewicz

Publication date: 13 May 2013

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

Full work available at URL: https://doi.org/10.1080/03610918.2011.654030

zbMATH Keywords

percentilestime seriesbinomialvariance ratio testsTukey's \(g\)-and-\(h\) distributions

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Robust estimation of the parameters of \(g\)-\textit{and}-\(h\) distributions, with applications to outlier detection

Cites Work

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• Some partially sequential nonparametric tests for detecting linear trend
• A simple multiple variance ratio test
• Robustness to nonnormality of the Durbin-Watson test for autocorrelation
• Some properties of the tukey g and h family of distributions
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures
• On a measure of lack of fit in time series models
• Monitoring Structural Change
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS

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