Entropy test and residual empirical process for autoregressive conditional duration models

DOI10.1016/J.CSDA.2014.12.006zbMATH Open1468.62116OpenAlexW1999651127MaRDI QIDQ1663317FDOQ1663317

Authors: Sangyeol Lee, Haejune Oh 

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.12.006

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zbMATH Keywords

residual empirical processparametric bootstrap methodentropy based goodness of fit testnonlinear ACD model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Asymptotic Statistics
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• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Parameter change test for autoregressive conditional duration models
• Parameter Change Test for Poisson Autoregressive Models
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• The maximum entropy principle: A tool to define new entropies
• A maximum entropy type test of fit
• A maximum entropy type test of fit: composite hypothesis case
• Maximum Entropy Test for Autoregressive Models

Cited In (3)

• Goodness-of-fit tests in conditional duration models
• Empirical likelihood confidence regions for one- or two-samples with doubly censored data
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective

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