Maximum entropy test for autoregressive models

DOI10.1007/978-3-642-35443-4_8MaRDI QIDQ2950561zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Siyun Park

Publication date 9 October 2015

Published in Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35443-4_8

zbMATH Keywords

goodness of fit testmaximum entropy measuretime series modelsunstable autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Statistical methods; economic indices and measures (91B82)

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Cites work

• A maximum entropy type test of fit
• A note on the Jarque-Bera normality test for GARCH innovations
• Analysis of Financial Time Series
• Bootstrap based goodness-of-fit-tests
• Entropies with and without probabilities. Applications to questionnaires
• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On residual empirical processes of stochastic regression models with applications to time series
• On the Bickel-Rosenblatt test for first-order autoregressive models
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• The maximum entropy principle: A tool to define new entropies
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(6)

• Entropy test and residual empirical process for autoregressive conditional duration models
• Maximum entropy test for GARCH models
• Omnibus goodness of fit test based on quadratic distance
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
• ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
• Blockwise empirical entropy tests for time series regressions

Describes a project that uses

Uses Software

• FinTS

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