Testing linearity in term structures

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Linearity Testing in Characteristic Two

Let Dist(f; g) = Pru [ f(u)6=g(u) ] denote the relative distance between functions f; g mapping from a group G to a group H , and let Dist(f) denote the minimum, over all linear functions (homomorphisms) g, of Dist(f; g). Given a function f : G ! H we let Err(f) = Pru;v [ f(u)+f(v)6=f(u+v) ] denote the rejection probability of the BLR (Blum-Luby-Rubinfeld) linearity test. Linearity testing is t...

متن کامل

Reducing testing affine spaces to testing linearity

We consider the task of testing whether a Boolean function f : {0, 1} → {0, 1} is the indicator function of an (l − k)-dimensional affine space. An optimal tester for this property was presented by Parnas, Ron, and Samorodnitsky (SIDMA, 2002), by mimicking the celebrated linearity tester (of Blum, Luby and Rubinfeld, JCSS, 1993) and its analysis. We show that the former task (i.e., testing (l−k...

متن کامل

Linearity testing with entangled provers

We first recall the definition of the linearity test, and give a brief proof of its soundness for the case of classical players, in Section 1. In Section 2 we give a “beginner’s introduction” to the quantum formalism used to describe entangled players. In Section 3 we state the “entangledprover linearity test”, taking the opportunity to explain some of the challenges that arise in the analysis ...

متن کامل

Testing the assumption of Linearity

The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non−linearity was found in the case of Canada. The result for the US is not so clear cut. The author would like to thank Chung−Ming Kuan, David Chappell, Chris Martin and Costas Mil...

متن کامل

Testing for Stochastic Non- Linearity in the Rational Expectations Permanent Income Hypothesis

The Rational Expectations Permanent Income Hypothesis implies that consumption follows a martingale. However, most empirical tests have rejected the hypothesis. Those empirical tests are based on linear models. If the data generating process is non-linear, conventional tests may not assess some of the randomness properly. As a result, inference based on conventional tests of linear models can b...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Applied Financial Economics

سال: 2012

ISSN: 0960-3107,1466-4305

DOI: 10.1080/09603107.2011.621882