标题:Testing for positive expectation dependence
作者:Zhu, Xuehu; Guo, Xu; Lin, Lu; Zhu, Lixing
作者机构:[Zhu, Xuehu; Lin, Lu] Shandong Univ, Qilu Securities Inst Financial Studies, Jinan 250100, Peoples R China.; [Zhu, Xuehu; Guo, Xu; Zhu, Lixing] Hong 更多
通讯作者:Zhu, Lixing
通讯作者地址:[Zhu, LX]Hong Kong Baptist Univ, Dept Math, Fong Shu Chuen Lib Bldg 1208,Waterloo Rd 224, Kowloon Tong, Hong Kong, Peoples R China.
来源:ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
出版年:2016
卷:68
期:1
页码:135-153
DOI:10.1007/s10463-014-0492-7
关键词:Expectation dependence; Nonparametric Monte Carlo; Test of; Kolmogorov-Smirnov type
摘要:In this paper, hypothesis testing for positive first-degree and higher-degree expectation dependence is investigated. Some tests of Kolmogorov-Smirnov type are constructed, which are shown to control type I error well and to be consistent against global alternative hypothesis. Further, the tests can also detect local alternative hypotheses distinct from the null hypothesis at a rate as close to the square root of the sample size as possible, which is the fastest possible rate in hypothesis testing. A nonparametric Monte Carlo test procedure is applied to implement the new tests because both sampling and limiting null distributions are not tractable. Simulation studies and a real data analysis are carried out to illustrate the performances of the new tests.
收录类别:EI;SCOPUS;SCIE;SSCI
WOS核心被引频次:3
Scopus被引频次:3
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84953358440&doi=10.1007%2fs10463-014-0492-7&partnerID=40&md5=5c86d51e5afc02b9bc26ad8a9ec60891
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