Table 1.
Asymptotic percentage points for statistic for selected values of the parameter θ with values for different significance levels α.
Table 2.
Asymptotic percentage points for statistic for selected values of the parameter θ with values for different significance levels α.
Table 3.
Empirical percentage points of the statistic for selected values of the sample size n and the parameter θ based on 25000 simulations and with different significance levels α.
Table 4.
Empirical percentage points of the statistic for selected values of the sample size n and the parameter θ based on 25000 simulations and with different significance levels α.
Table 5.
Distribution of lengths of trends and summary statistics for all analyzed markets.
a) Observed runs duration; b) total number of runs; c) observed average run length; d) θ estimated; e) 95% C.I. for θ; f) and g) estimated values of W2 and A2 statistics, respectively, with corresponding p–values.