This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

The level of differential gene expression may be defined as a fold change, a frequency of upregulation, or some other measure of the degree or extent of a difference in expression across groups of interest. On the basis of expression data for hundreds or thousands of genes, inferring which genes...

Given a multiple testing situation, the null hypotheses that appear to have sufficiently low probabilities of truth may be rejected using a simple, nonparametric method based on decision theory. This applies not only to posterior levels of belief, but also to conditional probabilities in the...

This paper compares the performance of a wide range of approaches to testing the martingale difference hypothesis in economic and financial time series. An extensive Monte Carlo experiment is conducted to evaluate and compare the alternative tests under a martingale difference null hypothesis,...