Permutation tests for equality of distributions of functional data

Federico Bugni and Joel L. Horowitz ()
Additional contact information
Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP17/17, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a test of the hypothesis that the same stochastic process generates all the functional data. In contrast to existing methods, the test described here applies to both functional data and multiple treatments. The test is presented as a permutation test, which ensures that in a finite sample, the true and nominal probabilities of rejecting a correct null hypothesis are equal. The paper also presents the asymptotic distribution of the test statistic under alternative hypotheses. The results of Monte Carlo experiments and an application to an experiment on billing and pricing of natural gas illustrate the usefulness of the test.

Keywords: Functional data; permutation test; randomized experiment; hypothesis test (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2017-04-18
New Economics Papers: this item is included in nep-ecm, nep-exp and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ifs.org.uk/uploads/cemmap/wps/CWP171717.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/cemmap/wps/CWP171717.pdf [302 Found]--> https://ifs.org.uk/uploads/cemmap/wps/CWP171717.pdf)

Related works:
Working Paper: Permutation Tests for Equality of Distributions of Functional Data (2021)
Working Paper: Permutation tests for equality of distributions of functional data (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:17/17

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().