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

DOI10.1007/S11749-022-00802-5zbMATH Open1496.62079arXiv2001.02488OpenAlexW3158170473MaRDI QIDQ2084718FDOQ2084718

Authors: Marc Ditzhaus, Daniel Gaigall 

Publication date: 13 October 2022

Published in: Test (Search for Journal in Brave)

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.

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

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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)

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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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