A non-parametric test for the bivariate c-sample problem is proposed. The test is an extension of a bivariate two-sample test given by Mardia (1967) and possesses various desirable properties. We ...

Parametric tests make assumptions that aspects of the data follow some sort of theoretical probability distribution. Non-parametric tests or distribution free methods do not, and are used when the ...

Scandinavian Journal of Statistics, Vol. 28, No. 4 (Dec., 2001), pp. 725-732 (8 pages) We consider the comparison of point processes in a discrete observation situation in which each subject is ...

Linear models, generalized linear models, and nonlinear models are examples of parametric regression models because we know the function that describes the relationship between the response and ...

The Wilcoxon signed rank test, which is also known as the Wilcoxon signed rank sum test and the Wilcoxon matched pairs test, is a non-parametric statistical test used to compare two dependent samples ...

Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation The purpose of this paper is to compare in-sample and out-of-sample performances of three parametric and non-parametric ...