Testing marginal homogeneity in Hilbert spaces with applications to stock market returns

DOI10.1007/S11749-022-00802-5MaRDI QIDQ2084718zbMATH OpenOpenAlexFDO

Authors Marc Ditzhaus, Daniel Gaigall

Publication date 13 October 2022

Published in Test (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2001.02488

zbMATH Keywords

functional data\(U\)-statisticbootstrap testmarginal homogeneitystock market returnCramér-von-Mises test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)

Abstract: The paper considers a paired data framework and discuss 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 Cramer-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 on the basis of functional data. The approach is demonstrated on the basis of historical data for different stock market indices.

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Cited in

(2)

• A general approach for testing independence in Hilbert spaces
• Cramér-von-Mises tests for the distribution of the excess over a confidence level

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