Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1855
Title: On a Novel Two-Sample Test for Matrix Distributions and Application in Finance
Authors: Lukić, Žikica 
Milošević, Bojana 
Affiliations: Probability and Mathematical Statistics 
Probability and Mathematical Statistics 
Issue Date: 2023
Rank: M32
Related Publication(s): 23rd European Young Statistician Meeting EYSM 2023
Conference: European Young Statisticians Meeting EYSM 2023(23 ; 2023 ; Ljubljana)
Abstract: 
The complexity of data gathered in recent years has increased the popularity of matrix methods. The primary focus of this presentation will be to discuss recent developments in testing statistical hypotheses in the field of matrix distributions. Specifically, we will explore a newly proposed test for evaluating the equality of two symmetric positive definite matrix distributions. This test is constructed by integrating the squared difference of two empirical Hankel transforms using the Wishart measure. Particular attention will be given to the application of the aforementioned test in finance, specifically in relation to major cryptocurrencies like Bitcoin and Ethereum, as well as the analysis of Bitcoin-related events Fruehwirt et al. (2021). Moreover, recent Bitcoin-related events will also be considered. Lastly, the presentation will include the application of novel tests to datasets from major S&P 500 companies Péli (2023).
URI: https://research.matf.bg.ac.rs/handle/123456789/1855
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