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

DOI10.1080/03610918.2016.1212067zbMATH Open1384.62057OpenAlexW2508056651MaRDI QIDQ4607336FDOQ4607336

Authors: Khamis K. Said, Wei Ning, Yubin 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

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zbMATH Keywords

likelihood ratio testskew normal distributionchange point problembinary segmentation method

Mathematics Subject Classification ID

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

Cites Work

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• Nonparametric change-point estimation
• The skew-normal and related families. With the collaboration of Antonella Capitanio.
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• Empirical likelihood ratio confidence intervals for a single functional
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• CONTINUOUS INSPECTION SCHEMES
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• The multivariate skew-normal distribution
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• A test for a change in a parameter occurring at an unknown point
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• Empirical likelihood ratio test for the change-point problem
• A New Class of Skew-Normal Distributions
• A semiparametric changepoint model
• Detecting shifts in functions of multivariate location and covariance parameters
• Information approach for the change-point detection in the skew normal distribution and its applications
• Change Point Detection in The Skew-Normal Model Parameters
• Matrix variate extended skew normal distributions
• Changepoint estimation in a segmented linear regression via empirical likelihood

Cited In (8)

• Modified information criterion for testing changes in skew normal model
• Bootstrap approaches for homogeneous test of location parameters under skew-normal settings
• Change point detection in length-biased Weibull distribution for random censored data based on modified information criterion
• Detecting changes in linear regression models with skew normal errors
• Reverse stress testing in skew-elliptical models
• Likelihood ratio test change-point detection in the skew slash distribution
• Information approach for the change-point detection in the skew normal distribution and its applications
• Change point analysis for weighted exponential distribution

Uses Software

• sn

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