两两时间可逆性的联结谱检验

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY
Shibin Zhang
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引用次数: 1

摘要

在本文中,我们提出了一种新的二维边缘分布的双时间可逆性的频域检验方法。所提出的检验适用于非常广泛的时间序列,而不考虑矩和马尔可夫性质的存在。通过改变一对分位数,测试可以检测任何违反两两时间可逆性。我们的方法是基于零假设下copula谱密度核的虚部与其值之间的\(L^2\) -距离的估计量。我们证明了所提出的检验统计量的极限分布是正态分布,并通过仿真研究了有限样本的性能。我们通过将所提出的测试应用于股票价格数据来说明它的使用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

A copula spectral test for pairwise time reversibility

A copula spectral test for pairwise time reversibility

In this paper, we propose a new frequency domain test for pairwise time reversibility at any specific couple of quantiles of two-dimensional marginal distribution. The proposed test is applicable to a very broad class of time series, regardless of the existence of moments and Markovian properties. By varying the couple of quantiles, the test can detect any violation of pairwise time reversibility. Our approach is based on an estimator of the \(L^2\)-distance between the imaginary part of copula spectral density kernel and its value under the null hypothesis. We show that the limiting distribution of the proposed test statistic is normal and investigate the finite sample performance by means of a simulation study. We illustrate the use of the proposed test by applying it to stock price data.

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来源期刊
CiteScore
2.00
自引率
0.00%
发文量
39
审稿时长
6-12 weeks
期刊介绍: Annals of the Institute of Statistical Mathematics (AISM) aims to provide a forum for open communication among statisticians, and to contribute to the advancement of statistics as a science to enable humans to handle information in order to cope with uncertainties. It publishes high-quality papers that shed new light on the theoretical, computational and/or methodological aspects of statistical science. Emphasis is placed on (a) development of new methodologies motivated by real data, (b) development of unifying theories, and (c) analysis and improvement of existing methodologies and theories.
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