Entropy test and residual empirical process for autoregressive conditional duration models

DOI10.1016/J.CSDA.2014.12.006MaRDI QIDQ1663317zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 2148871 (Why is no real title available?)
• A family of autoregressive conditional duration models
• A maximum entropy type test of fit
• A maximum entropy type test of fit: composite hypothesis case
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Asymptotic Statistics
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bootstrap based goodness-of-fit-tests
• Maximum entropy test for autoregressive models
• On residual empirical processes of stochastic regression models with applications to time series
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for autoregressive conditional duration models
• Parameter estimation in nonlinear AR-GARCH models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• The maximum entropy principle: A tool to define new entropies
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(6)

• A goodness-of-fit test for a class of autoregressive conditional duration models
• On the residual autocorrelation of the autoregressive conditional duration model
• Goodness-of-fit tests in conditional duration models
• Empirical likelihood confidence regions for one- or two-samples with doubly censored data
• Diagnostic checking for Weibull autoregressive conditional duration models
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective

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