5 papers · 1 filter
Change-point analysis: a new perspective for unstable financial markets
Žikica Lukić, Bojana Milošević
We introduce two new classes of nonparametric change-point tests for sequences of univariate non-negative random variables. The proposed procedures are based on the empirical modif…
Goodness-of-fit tests for generalized Poisson distributions
A. Batsidis, B. Milošević, M. D. Jiménez-Gamero
This paper presents and examines computationally convenient goodness-of-fit tests for the family of generalized Poisson distributions, which encompasses notable distributions such…
A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
Žikica Lukić, Bojana Milošević
This paper introduces a novel two-sample test for a broad class of orthogonally equivalent positive definite symmetric matrix distributions. Our test is the first of its kind and w…
Characterization-based approach for construction of goodness-of-fit test for Lévy distribution
Žikica Lukić, Bojana Milošević
The Lévy distribution, alongside the Normal and Cauchy distributions, is one of the only three stable distributions whose density can be obtained in a closed form. However, there a…
New characterization based exponentiality tests for randomly censored data
Marija Cuparić, Bojana Milošević
Recently, the characterization based approach for the construction of goodness of fit tests has become popular. Most of the proposed tests have been designed for complete i.i.d. sa…