DSpace university logo mark
Japanese | English 

NAOSITE : Nagasaki University's Academic Output SITE > 020 経済学部・経済学研究科 > 020 紀要 > 經營と經濟 > 第89巻 第3号 >

An Essay on Random Walk Process: Features and Testing

ファイル 記述 サイズフォーマット
Keizai89_3_243.pdf234.26 kBAdobe PDF本文ファイル

タイトル: An Essay on Random Walk Process: Features and Testing
著者: Yoshioka, Shinji
発行日: 2009年12月
出版者: 長崎大学経済学会
引用: 經營と經濟, vol.89(3), pp.243-260; 2009
抄録: 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.
キーワード: Stochastic process / Random walk / Martingale / Central limit theorem / Efficient market hypothesis
URI: http://hdl.handle.net/10069/23417
ISSN: 02869101
資料タイプ: Departmental Bulletin Paper
原稿種類: publisher
出現コレクション:第89巻 第3号

引用URI : http://hdl.handle.net/10069/23417



Valid XHTML 1.0! Copyright © 2006-2015 長崎大学附属図書館 - お問い合わせ Powerd by DSpace