We propose a U-statistics-based test for null variance components in linear mixed models and obtain its asymptotic distribution (for increasing number of units) under mild regularity conditions that include only the existence of the second moment for the random effects and of the fourth moment...

This paper presents the asymptotic theory for non-degenerate U-statistics of high frequency observations of continuous Itô semimartingales. We prove uniform convergence in probability and show a functional stable central limit theorem for the standardized version of the U-statistic. The...

Generalized linear statistics are a unifying class that contains U-statistics, U-quantiles, L-statistics as well as trimmed and Winsorized U-statistics. For example, many commonly used estimators of scale fall into this class. GL-statistics have only been studied under independence; in this paper,...

A class of nonparametric test statistics for several sample scale problem is proposed by considering extrema of subsamples of size c. The proposed class of statistics has the advantage of not requiring the several distribution functions to have a common median, but rather any common quantile of...

The occurrence of abnormal returns before unscheduled announcements is usually identified with informed price movements. Therefore, the detection of these observations beyond the range of returns due to the normal day-to-day activity of financial markets is a concern for regulators monitoring...