Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations (Q6194056)

scientific article; zbMATH DE number 7804902

Language	Label	Description	Also known as
English	Goodness‐of‐fit tests for the multivariate Student‐<i>t</i> distribution based on i.i.d. data, and for GARCH observations	scientific article; zbMATH DE number 7804902

Statements

instance of

scholarly article

0 references

title

Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations (English)

0 references

published in

Journal of Time Series Analysis

0 references

publication date

14 February 2024

0 references

zbMATH Keywords

goodness-of-fit test

0 references

heavy-tailed distribution

0 references

empirical characteristic function

0 references

CCC-GARCH

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

The centred parametrization for the multivariate skew-normal distribution

0 references

Long memory and asymmetry for matrix-exponential dynamic correlation processes

0 references

Testing multivariate distributions in GARCH models

0 references

Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

0 references

On the density of the sum of two independent Student $t$-random vectors

0 references

Q4265493

0 references

Linear processes in function spaces. Theory and applications

0 references

Multivariate GARCH models for large-scale applications: A survey

0 references

Goodness-of-fit tests for functional data

0 references

Asymptotic theory for multivariate GARCH processes.

0 references

Multivariate empirical characteristic functions

0 references

Characteristic function-based inference for GARCH models with heavy-tailed innovations

0 references

A Student-$t$ full factor multivariate GARCH model

0 references

A goodness-of-fit test for elliptical distributions with diagnostic capabilities

0 references

Tests for multivariate normality -- a critical review with emphasis on weighted $L^2$-statistics

0 references

Multivariate goodness-of-fit on flat and curved spaces via nearest neighbor distances

0 references

Tests for location-scale families based on the empirical characteristic function

0 references

Estimating Multivariate Volatility Models Equation by Equation

0 references

GARCH Models

0 references

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

0 references

Tests for conditional ellipticity in multivariate GARCH models

0 references

Comparison of specification tests for GARCH models

0 references

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

0 references

Multivariate $\theta$-generalized normal distributions

0 references

Identification of structural multivariate GARCH models

0 references

Multivariate goodness-of-fit tests based on Wasserstein distance

0 references

Invariant tests for multivariate normality: A critical review

0 references

A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function

0 references

A test for Gaussianity in Hilbert spaces via the empirical characteristic functional

0 references

CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS

0 references

Goodness-of-fit Testing in High Dimensional Generalized Linear Models

0 references

Asymptotics, finite-sample comparisons and applications for two-sample tests with functional data

0 references

Fourier methods for model selection

0 references

Unitary transformations, empirical processes and distribution free testing

0 references

Specification tests for the error distribution in GARCH models

0 references

Power in High‐Dimensional Testing Problems

0 references

Multivariate T-Distributions and Their Applications

0 references

Maximum entropy test for GARCH models

0 references

A class of uniform tests for goodness-of-fit of the multivariate $L_p$-norm spherical distributions and the $l_p$-norm symmetric distributions

0 references

ML estimation of the multivariate $t$ distribution and the EM algorithm

0 references

An empirical goodness-of-fit test for multivariate distributions

0 references

Dependent central limit theorems and invariance principles

0 references

Bootstrap goodness-of-fit tests with estimated parameters based on empirical transforms

0 references

A Class of Goodness-of-fit Tests Based on Transformation

0 references

On energy tests of normality

0 references

Estimation methods for the multivariate $t$ distribution

0 references

Simulation techniques for generalized Gaussian densities

0 references

Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis

0 references

On the characteristic function of multivariate Studentt-distribution

0 references

On the choice of the smoothing parameter for the BHEP goodness-of-fit test

0 references

An affine invariant multiple test procedure for assessing multivariate normality

0 references

On the automatic selection of the tuning parameter appearing in certain families of goodness-of-fit tests

0 references

On automatic kernel density estimate-based tests for goodness-of-fit

0 references

Q3583112

0 references

Selected Topics in Characteristic Functions

0 references

Goodness-of-fit tests for high-dimensional Gaussian linear models

0 references

A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models

0 references

Identifiers

DOI

10.1111/jtsa.12713

0 references

Mathematics Subject Classification ID

62Mxx

0 references

zbMATH DE Number

7804902

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6194056

Goodness‐of‐fit tests for the multivariate Student‐<i>t</i> distribution based on i.i.d. data, and for GARCH observations (Q6194056)

Statements

Identifiers

Sitelinks

Mathematics(1 entry)