Psaradakis, Zacharias and Vavra, Marian (2018) Bootstrap-assisted tests of symmetry for dependent data. Working Paper. Birkbeck, University of London, London, UK.
|
Text
26849.pdf - Draft Version Download (539kB) | Preview |
Abstract
The paper considers the problem of testing for symmetry (about an unknown centre) of the marginal distribution of a strictly stationary and weakly dependent stochastic process. The possibility of using the autoregressive sieve bootstrap and stationary bootstrap procedures to obtain critical values and P-values for symmetry tests is explored. Bootstrap-assisted tests for symmetry are straightforward to implement and require no prior estimation of asymptotic variances. The small-sample properties of a wide variety of tests are investigated using Monte Carlo experiments. A bootstrap-assisted version of the triples test is found to have the best overall performance.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 1806 |
| Keyword(s) / Subject(s): | Autoregressive sieve bootstrap; Stationary bootstrap; Symmetry; Weak dependence |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 25 Mar 2019 11:20 |
| Last Modified: | 02 Aug 2023 17:49 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26849 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
