Abstract
In the era of big data, it is very necessary to research the volatility of the financial market, and the heavy-tailed dependent series can well describe the characteristics of the peak and heavy tail in financial data, which is favored by many scholars. In this paper, ratio test is proposed to analysis a mean change of heavy-tailed sequence. On the basis of general functional central limit theorem, the validity of the statistic is proved.
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Acknowledgments
This work is supported by Science and Technology Foundation of Shaanxi Province of China under Grant No. 2013XJXX-40; Natural Science Foundation of Shaanxi Province of China under Grant No. 2017JM1042. Scientific Research Program Funded by Shaanxi Provincial Education Department (Program No. 16JK1500); Natural Science Foundation of Shaanxi Province of China under Grant No. 2018JM1041.
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Bai, H., Jin, H., Yang, Y., Li, C. (2021). Ratio Test for Mean Change Based on Financial Time Series Under the Background of Big Data. In: Xu, Z., Parizi, R.M., Loyola-González, O., Zhang, X. (eds) Cyber Security Intelligence and Analytics. CSIA 2021. Advances in Intelligent Systems and Computing, vol 1343. Springer, Cham. https://doi.org/10.1007/978-3-030-69999-4_58
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DOI: https://doi.org/10.1007/978-3-030-69999-4_58
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