In this paper, we define an innovative method for predicting the stochastic behavior of Bull and Bear periods stock market. The direct study prediction possible markets is a different new approach about analysis markets. Our work based on collection 40 years data from Italian proposed solution defined using statistical Stock it includes criterion statistically generating most probable values ne...

A simulation-based approach is proposed for approximating a Bayesian analysis. Parameters and data are simulated from a Bayesian model and inference about a parameter is performed by exploring the set of simulated parameter values conditional on a set of values of a simulated statistic. The approach is used to learn about parameters of a streaky model on the basis of a statistic used to measure...

It is well known that likelihood ratio statistic is Bartlett correctable. We consider decomposition of a likelihood ratio statistic into 1 degree of freedom components based on sequence of nested hypotheses. We give a proof of the fact that the component likelihood ratio statistics are distributed mutually independently up to the order O(1=n) and each component is independently Bartlett correct...

This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified statistic restores the test’s discriminating power between jumps and no jumps despite the presence of market microstructure noise in the data. © ...

We use the forward search to provide data-driven flexible trimming of the Cp statistic for the choice of regression models, thus revealing the effect of multiple outliers on model selection. We show, even in small sub-samples of the data, that is with heavy trimming, that the statistic virtually has a known null distribution a scaled and shifted F . We discuss the theoretical background to this...

This article considers two similar likelihood-based test statistics for comparing two fixed trees, the Kishino-Hasegawa (KH) test statistic and the likelihood ratio (LR) statistic, as well as a number of different methods for determining thresholds to declare a significant result. An explanation is given for why the KH test, which uses the KH test statistic and normal theory thresholds, need no...

Heterogeneity assessment is unavoidable under meta-analysis as it guides the path to choose appropriate synthesizing method. Its consideration further strengthens the drawn inferences. In the literature, there are various measures of heterogeneity, such as, Q statistic, H2 statistic, HM2 statistic, R2 statistic and I2 statistic. The present work mainly aimed to appraise all existing methods and...