Skip to main content

Table 2 Choice of \({\text{D}}_{\text{k},\text{n}}\)s

From: Spotting the stock and crypto markets’ rings of fire: measuring change proximities among spillover dependencies within inter and intra-market asset classes

Competitor

Construction

Choice

CPM-Exp (Ross 2014)

\({\text{M}}_{\text{k},\text{n}}=-2\text{log}(\frac{{\text{L}}_{0}}{{\text{L}}_{1}})\)

\({\text{D}}_{\text{k},\text{n}}={\text{M}}_{\text{k},\text{n}}\)

CPM-Adjusted Exp (Ross 2014)

\({\text{M}}_{\text{k},\text{n}}^{\text{c}}=\frac{{\text{M}}_{\text{k},\text{n}}}{\text{E}({\text{M}}_{\text{k},\text{n}})}\)

\({\text{D}}_{\text{k},\text{n}}={\text{M}}_{\text{k},\text{n}}^{\text{c}}\)

CPM-Mann–Whitney (Hawkins and Deng 2010)

\({\text{U}}_{\text{k},\text{n}}=\sum_{\text{i}=1}^{\text{k}}\sum_{\text{j}=\text{k}+1}^{\text{n}}\text{sgn}({\text{X}}_{\text{i}}-{\text{X}}_{\text{j}})\)

\({\text{D}}_{\text{k},\text{n}}={\text{U}}_{\text{k},\text{n}}\)(scaled)

CPM-Mood (Ross et al. 2011)

\(\text{M}=\sum_{{\text{X}}_{\text{i}}}((\sum_{\text{i}\ne \text{j}}^{\text{n}}\text{I}({\text{X}}_{\text{i}}\ge {\text{X}}_{\text{j}}))-\frac{\text{n}+1}{2}{)}^{2}\)

\({\text{D}}_{\text{n}}=\text{M}\)(standardized)

CPM-Lepage (Ross et al. 2011)

\(\text{L}={\text{U}}^{2}+{\text{M}}^{2}\)

\({\text{D}}_{\text{n}}=\text{L}\)

CPM-Kolmogorov–Smirnov (Ross and Adams 2012)

\({\text{M}}_{\text{k},\text{n}}={\text{sup}}_{\text{x}}|{\hat{\text{F}}}_{{\text{S}}_{1}}(\text{x})-{\hat{\text{F}}}_{{\text{S}}_{2}}(\text{x})|\)

\({\text{D}}_{\text{k},\text{n}}={\text{M}}_{\text{k},\text{n}}\)

CPM-Cramer-von-Mises (Ross and Adams 2012)

\({\text{M}}_{\text{k},\text{n}}={\int }_{-\infty }^{\infty }|{\hat{\text{F}}}_{{\text{S}}_{1}}-{\hat{\text{F}}}_{{\text{S}}_{2}}|{\text{dF}}_{\text{t}}(\text{x})\)

\({\text{D}}_{\text{k},\text{n}}={\text{M}}_{\text{k},\text{n}}\)