TY  - JOUR
A1  - Ditzhaus, Marc
A1  - Gaigall, Daniel
T1  - Testing marginal homogeneity in Hilbert spaces with applications to stock market returns
T2  - Test
N2  - This paper considers a paired data framework and discusses the question of marginal homogeneity of bivariate high-dimensional or functional data. The related testing problem can be endowed into a more general setting for paired random variables taking values in a general Hilbert space. To address this problem, a Cramér–von-Mises type test statistic is applied and a bootstrap procedure is suggested to obtain critical values and finally a consistent test. The desired properties of a bootstrap test can be derived that are asymptotic exactness under the null hypothesis and consistency under alternatives. Simulations show the quality of the test in the finite sample case. A possible application is the comparison of two possibly dependent stock market returns based on functional data. The approach is demonstrated based on historical data for different stock market indices.
Y1  - 2022
UR  - https://opus.bibliothek.fh-aachen.de/opus4/frontdoor/index/index/docId/10406
SN  - 1863-8260
VL  - 2022
IS  - 31
SP  - 749
EP  - 770
PB  - Springer
ER  -