On Homogeneity of Two Semi-Markov Samples

Larisa Afanasyeva and Peter Radchenko
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Larisa Afanasyeva: Moscow State University
Peter Radchenko: Moscow State University

Chapter Chapter 10 in Semi-Markov Models and Applications, 1999, pp 187-199 from Springer

Abstract: Abstract In this paper the Mann-Whitney test, which works for samples of independent observations, is adapted and extended to the semi-Markovian case. The central limit theorem for the U-statistic is proved and the dominant term of its dispersion is computed. The results are used for estimating homogeneity of stock market data.

Keywords: The sign test; U-statistic; semi-Markovian process (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-3288-6_10

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DOI: 10.1007/978-1-4613-3288-6_10

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