多元平稳时间序列偏离元椭圆的检测

IF 0.6 Q4 STATISTICS & PROBABILITY Dependence Modeling Pub Date : 2021-01-01 DOI:10.1515/demo-2021-0105

Axel Bücher, Miriam Jaser, A. Min

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引用次数: 0

摘要

摘要提出了一种检测多元平稳时间序列偏离元椭圆性的检验方法。检验统计量的大样本行为以一种复杂的方式依赖于潜在的联结以及序列依赖。利用基于子抽样的自举装置获得了有效的渐近临界值。在一个大规模的模拟研究中，研究了该测试的有限样本性能，并通过一个涉及财务日志回报的案例研究来说明理论结果。

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Detecting departures from meta-ellipticity for multivariate stationary time series

Abstract A test for detecting departures from meta-ellipticity for multivariate stationary time series is proposed. The large sample behavior of the test statistic is shown to depend in a complicated way on the underlying copula as well as on the serial dependence. Valid asymptotic critical values are obtained by a bootstrap device based on subsampling. The finite-sample performance of the test is investigated in a large-scale simulation study, and the theoretical results are illustrated by a case study involving financial log returns.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations

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