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A Monte Carlo analysis of two spectral tests of the martingale hypothesis. (English) Zbl 1446.62252

Summary: The size, power, and robustness properties of the Kolmogorov-Smirnov and Cramér-von Mises spectral tests of the martingale (difference) hypothesis are investigated by Monte Carlo methods. The results highlight a marked superiority of the Cramér-von Mises with respect to the Kolmogorov-Smirnov test. The paper also shows that the Cramér-von Mises test is simple to compute, more general and more powerful than other converntionally used tests.

MSC:

62M15 Inference from stochastic processes and spectral analysis
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