A Generalized F-test for the Mean of A Class of Elliptically Contoured Distributions

doi:10.22606/jas.2017.21002

科研成果详情

发表状态	已发表Published
题名	A Generalized F-test for the Mean of A Class of Elliptically Contoured Distributions
作者	Jiajuan Liang
发表日期	2017-03
发表期刊	Journal of Advanced Statistics
ISSN/eISSN	2414-6803
卷号	2 期号:1 页码:10-15
摘要	The theory of spherical distributions is employed to develop a generalized F-test for testing the mean of a subfamily of elliptically contoured distributions. The exact null distribution of the generalized F-test is obtained. The power performance of the generalized F-test is illustrated by choosing several distributions in the subfamily of elliptically contoured distributions. The Monte Carlos study shows that the generalized F-test is not sensitive to the increase of sample dimension. The generalized F-test is applicable to the case of any dimension with any sample size. An analysis on a real dataset in financial models illustrates possible applications of the proposed tests
关键词	Elliptically contoured distribution generalized F-test high dimension spherically symmetric distribution
DOI	10.22606/jas.2017.21002
语种	英语English
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/5300
专题	个人在本单位外知识产出
作者单位	College of Business, University of New Haven, West Haven, Connecticut, U.S.A.
推荐引用方式 GB/T 7714	Jiajuan Liang. A Generalized F-test for the Mean of A Class of Elliptically Contoured Distributions[J]. Journal of Advanced Statistics, 2017, 2(1): 10-15.
APA	Jiajuan Liang. (2017). A Generalized F-test for the Mean of A Class of Elliptically Contoured Distributions. Journal of Advanced Statistics, 2(1), 10-15.
MLA	Jiajuan Liang."A Generalized F-test for the Mean of A Class of Elliptically Contoured Distributions". Journal of Advanced Statistics 2.1(2017): 10-15.