Bootstrap entropy test for general location-scale time series models with heteroscedasticity

DOI10.1080/00949655.2018.1478977OpenAlexW2806235530MaRDI QIDQ4960705FDOQ4960705

Authors: Minjo Kim, Sangyeol Lee 

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1478977

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zbMATH Keywords

goodness-of-fit testbootstrap methodresidual empirical processGARCH-type modelsentropy testlocation-scale models with heteroscedasticity

Mathematics Subject Classification ID

Statistics (62-XX)

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• A maximum entropy type test of fit: composite hypothesis case
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions

Cited In (2)

• Omnibus goodness of fit test based on quadratic distance
• Shannon's Entropy and Its Generalisations Towards Statistical Inference in Last Seven Decades

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