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在聚类多个时间序列中进行非参数性波动性测试.

Erniel B Barrios1, Paolo Victor T Redondo2

  • 1Monash University Malaysia, Selangor, Malaysia.

Computational economics
|June 26, 2023
PubMed
概括
此摘要是机器生成的。

我们为多个时间序列开发了一种新的启动测试,以解决金融市场的波动性聚类和传染效应. 这种方法提高了统计能力和准确性,特别是对于静止时间序列数据.

关键词:
集群集成是指集群集成.多个时间序列.非参数性试验试验在 Sieve 启动过程中,使用 Sieve Bootstrap.波动性 波动性 波动性

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科学领域:

  • 计量经济学 计量经济学 计量经济学
  • 金融时间序列分析分析
  • 统计建模 统计建模

背景情况:

  • 在多个时间序列中聚合波动性,例如股票市场指标,使波动性分析复杂化.
  • 参数测试可能会显示出由于传染效应而导致的大小和功率的问题.
  • 现有的方法可能无法充分解决相互依存的金融时间序列的复杂性.

研究的目的:

  • 提出一种新的统计测试,用于多个时间序列中的波动性.
  • 为了考虑到财务数据中传染效应的潜在存在.
  • 为分析波动提供一种可靠的方法,这种方法不太依赖于分布假设.

主要方法:

  • 为多个时间序列开发使用启动式方法的波动性测试.
  • 测试应用于显示潜在传染效应的数据.
  • 在各种时间序列属性下测试性能的评估,包括非静止性.

主要成果:

  • 拟议的启动测试对分布假设是可靠的.
  • 测试证明了正确的尺寸,即使在几乎非静止的时间序列.
  • 测试显示了显著的功率,特别是当时间序列的平均值是静止的,波动性集群很少时.

结论:

  • 基于引导的波动性测试有效地处理多个时间序列中的传染效应.
  • 与传统的参数测试相比,这种方法提供了更好的准确性和功率.
  • 该方法使用全球股票价格数据进行验证,证明了其实际适用性.