A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance

Autor:	Lukić, Žikica, Milošević, Bojana
Rok vydání:	2023
Předmět:	Statistics - Methodology 62H15 62P05 62E20
Druh dokumentu:	Working Paper
Popis:	This paper introduces a novel two-sample test for a broad class of orthogonally equivalent positive definite symmetric matrix distributions. Our test is the first of its kind and we derive its asymptotic distribution. To estimate the test power, we use a warp-speed bootstrap method and consider the most common matrix distributions. We provide several real data examples, including the data for main cryptocurrencies and stock data of major US companies. The real data examples demonstrate the applicability of our test in the context closely related to algorithmic trading. The popularity of matrix distributions in many applications and the need for such a test in the literature are reconciled by our findings. Comment: 13 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2308.07215 Zobrazit plný text záznamu View this record from Arxiv