Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 49, 2020 - Issue 11
Submit an article Journal homepage
199
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Comparing ratios of the mean to a power of variance in two samples via self-normalized test statistics

Shu DingSchool of Economics, Hefei University of Technology, Hefei, China; View further author information
,
Baisuo JinSchool of Management, University of Science and Technology of China, Hefei, China; Correspondence[email protected]
View further author information
,
Yuehua WuDepartment of Mathematics and Statistics, York University Toronto, Ontario, Canada; View further author information
,
Jing LiDepartment of Teaching Affairs, University of Science and Technology of China, Hefei, ChinaView further author information
&
Baiqi MiaoSchool of Management, University of Science and Technology of China, Hefei, China; View further author information
Pages 2787-2799 | Received 24 Apr 2018, Accepted 13 Feb 2019, Published online: 12 Mar 2019

References

  • Bai, Z., K. F. Phoon, K. Wang, and W.-K. Wong. 2013. The performance of commodity trading advisors: A mean-variance-ratio test approach. The North American Journal of Economics and Finance 25:188–201. doi:10.1016/j.najef.2012.06.010.
  • Bai, Z., K. Wang, and W.-K. Wong. 2011. The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test. Statistics & Probability Letters 81 (8):1078–85. doi:10.1016/j.spl.2011.02.035.
  • Feltz, C. J., and G. E. Miller. 1996. An asymptotic test for the equality of coefficients of variation from k populations. Statistics in Medicine 15 (6):647–58. doi:10.1002/(SICI)1097-0258(19960330)15:6 < 647::AID-SIM184 > 3.0.CO;2-P.
  • Jobson, J. D., and B. M. Korkie. 1981. Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance 36 (4):889–908. doi:10.2307/2327554.
  • Krishnamoorthy, K., and M. Lee. 2014. Improved tests for the equality of normal coefficients of variation. Computational Statistics 29 (1–2):215–32. doi:10.1007/s00180-013-0445-2.
  • Krishnamoorthy, K., M. Lee, and W. Xiao. 2015. Likelihood ratio tests for comparing several gamma distributions. Environmetrics 26 (8):571–83. doi:10.1002/env.2357.
  • Markowitz, H. 1952. Portfolio selection. The Journal of Finance 7 (1):77–91. doi:10.1111/j.1540-6261.1952.tb01525.x.
  • Paul, S., and K. Thiagarajah. 1992. Multi-sample test of equal gamma distribution scale parameters in presence of unknown common shape parameter. Communications in Statistics - Theory and Methods 21 (6):1633–50. doi:10.1080/03610929208830869.
  • Sharpe, W. F. 1994. The Sharpe ratio. The Journal of Portfolio Management 21 (1):49–58. doi:10.3905/jpm.1994.409501.
  • Shiue, W., and L. Bain. 1983. A two-sample test of equal gamma distribution scale parameters with unknown common shape parameter. Technometrics 25(4):377–81. doi:10.2307/1267860.
  • Shiue, W., L. Bain, and M. Engelhardt. 1988. Test of equal gamma-distribution means with unknown and unequal shape parameters. Technometrics 30(2):169–74. doi:10.1080/00401706.1988.10488364.
  • Thiagarajah, K. 2013. Testing homogeneity of gamma populations. Journal of Statistics and Management Systems 16 (6):433–44. doi:10.1080/09720510.2013.842056.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.