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https://research.matf.bg.ac.rs/handle/123456789/1856| Title: | On the novel two-sample tests and their application for change point analysis | Authors: | Lukić, Žikica Milošević, Bojana |
Affiliations: | Probability and Mathematical Statistics Probability and Mathematical Statistics |
Issue Date: | 2023 | Rank: | M32 | Related Publication(s): | 16th International Conference of the ERICM WG on Computational and Methodological Statistics (CMStatistics 2023) | Conference: | International Conference on Computational and Methodological Statistics : CMStatistics(16 ; 2023 ; Berlin) | Abstract: | An overview of statistical tests for matrix distributions is provided, focusing on novel two-sample tests. Their asymptotic properties are presented and their usability is demonstrated through a comprehensive empirical study. As a main application, the adaptation of these test statistics is showcased for detecting change points in financial markets, supported by real data examples. |
URI: | https://research.matf.bg.ac.rs/handle/123456789/1856 |
| Appears in Collections: | Research outputs |
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