Published 2019
| Version v1
Book
New test for a random walk detection based on the arcsine law
Creators
Description
In our work, we construct a new statistical test for a random walk detection, which is based on the arcsine laws. Additionally, we consider a version of the unit root test for an autoregressive process of order 1, which is also related to the arcsine laws. Additionally, we conduct some simulation study in order to check the quality of the proposed test.
Additional details
Identifiers
Publishing Information
- Publisher
- Universdad de Granada
- Imprint Place
- Granada (Spain)
- Imprint Title
- ITISE 2019. Proceedings of papers. Vol 1
- Imprint Pagination
- 789 p.
- Journal Page Range
- 8 p.
Conference
- Title
- International Conference on Time Series and Forecasting
- Acronym
- ITISE 2019
- Dates
- 25-27 Sep 2019
- Place
- Granada (Spain)
INIS
- Country of Publication
- Spain
- Country of Input or Organization
- Spain
- INIS RN
- 52034269
- Subject category
- S97: MATHEMATICAL METHODS AND COMPUTING;
- Resource subtype / Literary indicator
- Conference
- Descriptors DEI
- FORECASTING; MATHEMATICAL MODELS; RANDOMNESS; TIME-SERIES ANALYSIS
- Descriptors DEC
- MATHEMATICS; STATISTICS