A Laplace transform-based test for the equality of positive semidefinite matrix distributions
| Autor: | Lukić, Žikica |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we present a novel test for determining equality in distribution of matrix distributions. Our approach is based on the integral squared difference of the empirical Laplace transforms with respect to the noncentral Wishart measure. We conduct an extensive power study to assess the performance of the test and determine the optimal choice of parameters. Furthermore, we demonstrate the applicability of the test on financial and non-life insurance data, illustrating its effectiveness in practical scenarios. Comment: Accepted for publication in Filomat. 16 pages, 2 figures |
| Databáze: | arXiv |
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