Generalized spectral tests for the martingale difference hypothesis

^aThis article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we generalize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear dependence. Our test considers dependence at all lags and is consistent against general pairwise nonparametric Pitman's local alternatives converging at the parametric rate n^(-1/2), with n the sample size. Furthermore, with our methodology there is no need to choose a lag order, to smooth the data or to formulate a parametric alternative. Our approach can be easily extended to specification testing of the conditional mean of possibly nonlinear models. The asymptotic null distribution of our test depends on the data generating process, so a bootstrap procedure is proposed and theoretically justified. Our bootstrap test is robust to higher order dependence, in particular to conditional heteroskedasticity. A Monte Carlo study examines the finite sample performance of our test and shows that it is more powerful than some competing tests. Finally, an application to the S and P 500 stock index and exchange rates highlights the merits of our approach

Generalized spectral tests for the martingale difference hypothesis

This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we generalize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear dependence. Our test considers dependence at all lags and is consistent against general pairwise nonparametric Pitman's local alternatives converging at the parametric rate n-1/2, with n the sample size. Furthermore, with our methodology there is no need to choose a lag order, to smooth the data or to formulate a parametric alternative. Our approach could be extended to specification testing of the conditional mean of possibly nonlinear models. The asymptotic null distribution of our test depends on the data generating process, so a bootstrap procedure is proposed and theoretically justified. Our bootstrap test is robust to higher order dependence, in particular to conditional heteroskedasticity. A Monte Carlo study examines the finite sample performance of our test and shows that it is more powerful than some competing tests. Finally, an application to the S&P 500 stock index and exchange rates highlights the merits of our approach.Publicad

Testing the martingale difference hypothesis using integrated regression functions

An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional predictability. A unified approach for dealing with all of these testing problems is proposed. These hypotheses are long standing problems in econometric time series analysis, and typically have been tested using the sample autocorrelations or in the spectral domain using the periodogram. Since these hypotheses cover also nonlinear predictability, tests based on those second order statistics are inconsistent against uncorrelated processes in the alternative hypothesis. In order to circumvent this problem pairwise integrated regression functions are introduced as measures of linear and nonlinear dependence. The proposed test does not require to chose a lag order depending on sample size, to smooth the data or to formulate a parametric alternative model. Moreover, the test is robust to higher order dependence, in particular to conditional heteroskedasticity. Under general dependence the asymptotic null distribution depends on the data generating process, so a bootstrap procedure is considered and a Monte Carlo study examines its finite sample performance. Then, the martingale and conditional heteroskedasticity properties of the Pound/Dollar exchange rate are investigated.Publicad

Parameter estimation of wormholes beyond the Heisenberg limit

We propose to exploit the quantum properties of nonlinear media to estimate the parameters of massless wormholes. The spacetime curvature produces a change in length with respect to Minkowski spacetime that can be estimated in principle with an interferometer. We use quantum metrology techniques to show that the sensitivity is improved with nonlinear media and propose a nonlinear Mach-Zehnder interferometer to estimate the parameters of massless wormholes that scales beyond the Heisenberg limit

Small clique number graphs with three trivial critical ideals

The critical ideals of a graph are the determinantal ideals of the generalized Laplacian matrix associated to a graph. In this article we provide a set of minimal forbidden graphs for the set of graphs with at most three trivial critical ideals. Then we use these forbidden graphs to characterize the graphs with at most three trivial critical ideals and clique number equal to 2 and 3.Comment: 33 pages, 3 figure

Determining WWW User's Next Access and Its Application to Pre-fetching

World-Wide Web (WWW) services have grown to levels where significant delays are expected to happen. Techniques like pre-fetching are likely to help users to personalize their needs, reducing their waiting times. However, pre-fetching is only effective if the right documents are identified and if user's move is correctly predicted. Otherwise, pre-fetching will only waste bandwidth. Therefore, it is productive to determine whether a revisit will occur or not, before starting pre-fetching. In this paper we develop two user models that help determining user's next move. One model uses Random Walk approximation and the other is based on Digital Signal Processing techniques. We also give hints on how to use such models with a simple pre-fetching technique that we are developing.CNP