Rank tests at jump events
We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2586 https://ink.library.smu.edu.sg/context/soe_research/article/3585/viewcontent/RankTestsJumpEvents_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |