New variance ratio tests to identify random walk from the general mean reversion model
DOI10.1155/JAMDS/2006/12314zbMath1105.62105MaRDI QIDQ868405
Wing-Keung Wong, May Chun Mei Wong, Kin-Tak Lam
Publication date: 5 March 2007
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/126921
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)
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