DeepAI AI Chat
Log In Sign Up

Permutation Tests for Equality of Distributions of Functional Data

03/02/2018
by   Federico A. Bugni, et al.
0

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a test of the hypothesis that the same stochastic process generates all the functional data. In contrast to existing methods, the test described here applies to both functional data and multiple treatments. The test is presented as a permutation test, which ensures that in a finite sample, the true and nominal probabilities of rejecting a correct null hypothesis are equal. The paper also presents the asymptotic distribution of the test statistic under alternative hypotheses. The results of Monte Carlo experiments and an application to an experiment on billing and pricing of natural gas illustrate the usefulness of the test.

READ FULL TEXT

page 1

page 2

page 3

page 4

09/07/2020

Permutation Testing for Dependence in Time Series

Given observations from a stationary time series, permutation tests allo...
02/08/2021

Prepivoted permutation tests

We present a general approach to constructing permutation tests that are...
01/08/2020

Tests for detecting risk equivalent portfolios

The aim of this paper is the development of consistent tests for the com...
03/25/2022

Nonparametric Conditional Local Independence Testing

Conditional local independence is an independence relation among continu...
08/17/2022

Estimation and Specification Test for Diffusion Models with Stochastic Volatility

Given the importance of continuous-time stochastic volatility models to ...
11/15/2019

GET: Global envelopes in R

This work describes the R package GET that implements global envelopes, ...
08/17/2022

A Comparative Review of Specification Tests for Diffusion Models

Diffusion models play an essential role in modeling continuous-time stoc...