Testing independence of two autocorrelated binary time series

被引：2
|
作者：
Chou, Cheng [1 ]
Chu, Chia-Shang J. [1 ]
机构：
[1] Peking Univ, China Ctr Econ Res, Natl Sch Dev, Beijing 100871, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 01期
关键词：
MODELS;
D O I：
10.1016/j.spl.2009.09.014
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Event forecast is a possibly autocorrelated binary time series. A new test for its timing ability is based on the correlation between the discrete autoregressions of the event forecast and the event time series. The new test outperforms the existing market timing tests. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：69 / 75
页数：7
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