Testing the stable Paretian assumption
نویسندگان
چکیده
منابع مشابه
The Variance Ratio Test with Stable Paretian Errors
In this paper we examine the distribution of the variance ratio statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its a...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2001
ISSN: 0895-7177
DOI: 10.1016/s0895-7177(01)00118-2