多元均值方差比值检验

Multivariate mean-variance ratio test

在Bai(2008)提出的均值方差比(MVR)检验的基础上,完善了小样本检验的理论,提出了k个均值方差比的多元MVR假设.对于多元MVR假设,可以得到k-1个有限导出单独假设,当多元MVR假设成立时,当且仅当所有的单独假设成立.对于每个单独假设,可以由二元MVR检验的统计量进行检验,对每个单独假设的显著水平,由Bonferroni不等式方法确定,为多元MVR假设整体的显著水平与单独假设个数的比值.

This paper proposed the multiple Mean-Variance ratio test of which is based on the ＂ Asset Performance Evaluation with Mean-Variance Ratio＂ of Bai （ 2008 ）, completing the theory of Mean-Variance Ratio test. For the multiple Mean-Variance Ratio, we can get the induced separate hypotheses. While accept the multiple Mean-Variance Ratio test, if and only if accept all the separate hypotheses. We could test the each hypothesis applying the Mean-Variance Ratio test. For the significance level of each hypothesis is the level of multiple hypothesis divided by.