Exact confidence sets and goodness-of-fit methods for stable distributions
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Publication:2451779
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Cites work
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- Exact multivariate tests of asset pricing models with stable asymmetric distributions
- Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
- Exact tests for structural change in first-order dynamic models
- Exact tests in single equation autoregressive distributed lag models
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
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- scientific article; zbMATH DE number 1471877 (Why is no real title available?)
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- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
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- Simulation based finite and large sample tests in multivariate regressions
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Cited in
(7)- Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
- Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
- A Bayesian approach for estimating the parameters of an α-stable distribution
- On the confidence intervals of parametric functions for Distributions Generated by Symmetric Stable Laws
- Extremal fits in REACT confidence sets
- Testing the goodness-of-fit of the stable distributions with applications to German Stock Index data and Bitcoin cryptocurrency data
- Parameter estimation for stable distributions and their mixture
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