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An Essay on Random Walk Process: Features and Testing
http://hdl.handle.net/10069/23417
http://hdl.handle.net/10069/23417a5e332fd-16e1-41b4-b075-74cbb81de9e1
名前 / ファイル | ライセンス | アクション |
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Keizai89_3_243.pdf (239.9 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-08-04 | |||||
タイトル | ||||||
タイトル | An Essay on Random Walk Process: Features and Testing | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Stochastic process | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Random walk | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Martingale | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Central limit theorem | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Efficient market hypothesis | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
Yoshioka, Shinji
× Yoshioka, Shinji |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In econometric literature, a lot of kinds of stochastic processes are employed, of course, including an autoregression (AR),a moving average (MA),an ARMA, and an ARIMA processes, etc. Among those, a random walk process is very unique and has some remarkable features. One of the most possible reasons to take a certain stochastic process is the fact that no one knows the reality of the time series data to be analyzed. This brief essay focused on a random walk process that is one of the most popular stochastic processes to unveil its essence. Moreover, some non-parametric testing methodologies such as a run test, a rank test, and a mean square successive difference test are also reviewed and applied to the normal random series generated by Box- Muller transformation. | |||||
書誌情報 |
経営と経済 en : Management and Economy 巻 89, 号 3, p. 243-260, 発行日 2009-12 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 02869101 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00069150 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
出版者 | ||||||
出版者 | 長崎大学経済学会 | |||||
引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 經營と經濟, vol.89(3), pp.243-260; 2009 |