The Kolmogorov-Smirnov test is a non-parametric test used to compare a sample with a reference distribution. One of te major issues of this thest is that it canÃ't be used with correlated data. An approach to solve this problem is presented in this thesis, in case of data derived by AR(2) and ARCH(1) processes.

Test di Kolmogorov-Smirnov nel caso di Osservazioni dipendenti

Furieri, Tommaso
2016/2017

Abstract

The Kolmogorov-Smirnov test is a non-parametric test used to compare a sample with a reference distribution. One of te major issues of this thest is that it canÃ't be used with correlated data. An approach to solve this problem is presented in this thesis, in case of data derived by AR(2) and ARCH(1) processes.
2016-07
25
Correlated data, AR(2), ARCH(1), Modification of KS Statistic
Stella, Attilio
Caraglio, Michele
Lauree triennali
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/26855