An invariant sign test for random walks based on recursive median adjustment

DOI10.1016/S0304-4076(01)00053-7zbMath1025.62021MaRDI QIDQ5942682

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Publication date: 25 November 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

heterocedasticitynonlinear transformationsign test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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