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Sign tests for dependent observations

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Title: Sign tests for dependent observations
Authors: Brown, D
Ibragimov, R
Item Type: Journal Article
Abstract: New sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions are introduced. The analysis is based on results that demonstrate that randomization over ties in sign tests for equality of conditional distributions of two adapted sequences produces a stream of i.i.d. symmetric Bernoulli random variables. This reduces the problem of evaluating the critical values of the tests to computing the quantiles or moments of Binomial or normal distributions. Similar properties also hold under randomization over zero values of signs of a conditionally symmetric martingale-difference sequence.
Issue Date: 1-Apr-2019
Date of Acceptance: 20-Nov-2018
URI: http://hdl.handle.net/10044/1/67722
DOI: https://doi.org/10.1016/j.ecosta.2018.11.001
ISSN: 2452-3062
Publisher: Elsevier BV
Start Page: 1
End Page: 8
Journal / Book Title: Econometrics and Statistics
Volume: 10
Copyright Statement: © 2018 Elsevier Ltd. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/.
Sponsor/Funder: Russian Science Foundation
Funder's Grant Number: 16-18-10432
Keywords: Social Sciences
Economics
Business & Economics
Sign tests
Dependence
Adapted processes
Martingale-difference sequences
Conditional symmetry
Bernoulli random variables
Exact tests
Conservative tests
EXACT NONPARAMETRIC-TESTS
RANDOM-WALK
LINEAR-COMBINATIONS
RANDOM-VARIABLES
ORTHOGONALITY
VERSIONS
DRIFT
Publication Status: Published
Online Publication Date: 2018-12-21
Appears in Collections:Imperial College Business School