Data driven smooth test of comparison for dependent sequences
نویسندگان
چکیده
In this paper we propose a smooth test of comparison for the marginal distributions of two possibly dependent strictly stationary sequences. We first state a general test procedure. Several cases of dependence are then investigated, allowing to cover various real situations. The test is applied to both simulated data and real datasets obtained from financial markets.
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ورودعنوان ژورنال:
- J. Multivariate Analysis
دوره 139 شماره
صفحات -
تاریخ انتشار 2015