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Detecting weaks signals with record statistics

Counting the number of local extrema of the cumulative sum of data points yields the R-test, a new single-sample non-parametric test. Numeric simulations indicate that the R-test is more powerful than Student's t-test for semi-heavy and heavy-tailed distributions, equivalent for Gaussian variables and slightly worse for uniformly distributed variables. Finally the R-test has a greater power than the single-sample Wilcoxon signed-rank test in most cases.
Year of publication:
2015-02
Authors: Challet, Damien
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011171656
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