A Quantile-based Test for Symmetry of Weakly Dependent Processes

被引：4
|
作者：
Psaradakis, Zacharias [1 ]
Vavra, Marian [2 ]
机构：
[1] Univ London, Dept Econ Math & Stat, Birkbeck, London WC1E 7HX, England
[2] Natl Bank Slovakia, Res Dept, Bratislava, Slovakia
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2015年 / 36卷 / 04期
关键词：
Empirical quantiles; skewness; symmetry; weak dependence; CONDITIONAL SYMMETRY; EMPIRICAL PROCESSES; TIME-REVERSIBILITY; SKEWNESS; CONVERGENCE; SELECTION;
D O I：
10.1111/jtsa.12132
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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.
引用
收藏
页码：587 / 598
页数：12
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