Using Triples to assess symmetry under weak dependence
Psaradakis, Zacharias and Vávra, Marian (2022) Using Triples to assess symmetry under weak dependence. Journal of Business and Economic Statistics 40 (4), pp. 1538-1551. ISSN 0735-0015.
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Abstract
The problem of assessing symmetry about an unspecified center of the one-dimensional marginal distribution of a strictly stationary random process is considered. A well-known U-statistic based on data triples is used to detect deviations from symmetry, allowing the underlying process to satisfy suitable mixing or near-epoch dependence conditions. We suggest using subsampling for inference on the target parameter, establish the asymptotic validity of the method in our setting, and discuss data-driven rules for selecting the size of subsamples. The small-sample properties of the proposed inferential procedures are examined by means of Monte Carlo simulations. Applications to time series of output growth and stock returns are also presented.
Metadata
| Item Type: | Article |
|---|---|
| Additional Information: | This is an Accepted Manuscript of an article published by Taylor & Francis, available online at the link above. |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Zacharias Psaradakis |
| Date Deposited: | 03 Jun 2021 08:43 |
| Last Modified: | 18 Jan 2024 11:56 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/44573 |
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