Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1871
Title: Testing for the equality of matrix distributions in the space of positive semi-definite random matrices
Authors: Lukić, Žikica 
Milošević, Bojana 
Affiliations: Probability and Mathematical Statistics 
Issue Date: 2023
Rank: M32
Related Publication(s): HiTEc meeting and the Complex Data in Econometrics and Statistics Workshop
Conference: HiTEC meeting and Complex Data in Econometrics and Statistics Workshop-HiTEC and CoDES(2023 ; Limasol)
Abstract: 
Due to numerous applications, matrix distributions have grown in popularity over the years. Although they capture the attention of the wide scientific community, the results in the field of model specification testing are still sparse. The purpose is to introduce a novel two-sample test for comparing two matrix distributions in the space of positive semi-definite random matrices and show its potential applications in finance. The test is derived as an integral difference of the empirical Hankel transforms with respect to a Wishart measure. The results of a wide empirical study that justifies its usage is presented for the novel statistic.
URI: https://research.matf.bg.ac.rs/handle/123456789/1871
Appears in Collections:Research outputs

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