variance ratio

var·i·ance ra·ti·o (F),

the distribution of the ratio of two independent estimates of the same variance from a gaussian distribution based on samples of sizes (n + 1) and (m + 1), respectively. Estimates are usually based on one such sample analyzed in such a way as to make them independent, for example, analysis of variance, and F may be used to test a null hypothesis that the observed differences among sample means is no greater than could readily be accounted for by chance.
References in periodicals archive ?
Specifically, we adopt normalized Hasbrouck's (1993) intraday pricing error volatility, absolute value of first-order autocorrelation in daily returns, and absolute value of weekly to daily variance ratio as our empirical measures of price inefficiency.
Lo and MacKinlay (1988) proposed using a variance ratio test which is based on comparing variance estimators derived from data sampled at different frequencies.
Second, the replenishment rule has an impact on the inventory stability (as measured by the inventory variance ratio, i.
When estimating the health effects related to a chemical exposure, the variance ratio (i.
Additionally they examine two performance metrics for assessing the bullwhip effect: the order rate variance ratio and the net stock amplification.
A number of statistical tests comprising Ljung-Box Q statistics test, Runs test, GARCH volatility test and variance ratio test have been used to test randomness of world markets.
Another approach to examining the persistence of a time series is the variance ratio test of Cochrane (1988).
DF = degrees of freedom, SS = Sums of squares, MS = Mean square, F = Variance ratio, [R.
05) and we report the change in the variance ratio ([DELTA]v.
The t statistic cannot reject the null of equality of means between samples, and the variance ratio rejects the null of variance equality between the samples.
AC(j) is the jth autocorrelation, VR(j) is the jth variance ratio, 6 is the volatility, and corr denotes the correlation.