New variance ratio tests to identify random walk from the general mean reversion model

DOI10.1155/JAMDS/2006/12314MaRDI QIDQ868405zbMATH OpenFDO

Authors Kin-Tak Lam, May Chun Mei Wong, Wing-Keung Wong

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

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A General Method for Constructing Simultaneous Confidence Intervals
• A simple multiple variance ratio test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Portfolio Analysis in a Stable Paretian Market
• Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
• Robustness and power of tests for a null variance ratio
• Some generalizations of the T-method in simultaneous inference
• Time series properties of aggregate output fluctuations

Cited in

(5)

• Testing the random walk hypothesis through robust estimation of correlation
• Effects of non-normality on tests of random walk models against effects of non-normality
• Gaussian mixture modelling to detect random walks in capital markets
• A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
• A multiple variance ratio test using subsampling

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