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

DOI10.1007/S11749-018-0589-ZMaRDI QIDQ2273163zbMATH OpenOpenAlexWikidataFDO

Authors Norbert Henze, M. D. Jiménez-Gamero

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.07199

zbMATH Keywords

Gaussian GARCH modelgoodness-of-fit testmoment generating functionmultivariate normality

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

Abstract: We generalize a recent class of tests for univariate normality that are based on the empirical moment generating function to the multivariate setting, thus obtaining a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for multinormality. The test statistics are suitably weighted $L^2$-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We study the finite-sample behavior of the new tests, compare the criteria with alternative existing procedures, and apply the new procedure to a data set of monthly log returns.

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Cited in

(19)

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