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Quantitative Finance · Glossaire

Qu'est-ce que « Exchangeability, permutation test » ?

Aussi appelé : exchangeability · permutation test

Definition 13.6 Quantitative Methods · Chapitre 13 — Resampling

Random variables Y1,…,YnY_1, \dots, Y_n are exchangeable (exchangeability) if the law of (Yπ(1),…,Yπ(n))(Y_{\pi(1)}, \dots, Y_{\pi(n)}) is the same for every permutation π\pi. A permutation test of the null that YY is independent of XX compares a statistic T(X,Y)T(X, Y) with its values over random permutations of YY; the pp-value is (1+#{T(X,Yπ)≥T(X,Y)})/(1+P)(1 + \#\{T(X, Y_\pi) \ge T(X, Y)\})/(1 + P) for PP permutations.

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