Psaradakis, Zacharias and Vavra, M. (2015) A quantile-based test for symmetry of weakly dependent processes. Journal of Time Series Analysis 36 (4), pp. 587-598. ISSN 0143-9782.
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Abstract
This article considers the problem of testing for symmetry of the marginal distribution of weakly dependent, stationary random processes. A quantile-based test for symmetry is proposed, which is easy to implement, requires no moment assumptions and has a standard asymptotic distribution. The finite-sample properties of the test are assessed by means of Monte Carlo experiments. An application to financial time series is also discussed.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Empirical quantiles, skewness, symmetry, weak dependence |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Zacharias Psaradakis |
| Date Deposited: | 19 Jun 2015 11:23 |
| Last Modified: | 02 Aug 2023 17:17 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/12368 |
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