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

DOI10.1080/00949655.2018.1478977MaRDI QIDQ4960705OpenAlexFDO

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

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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Cites work

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• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A maximum entropy type test of fit
• A maximum entropy type test of fit: composite hypothesis case
• Autoregressive Conditional Density Estimation
• Bootstrap based goodness-of-fit-tests
• Bootstrap methods: another look at the jackknife
• Goodness-of-fit tests when parameters are estimated
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Maximum entropy test for GARCH models
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions
• On residual empirical processes of stochastic regression models with applications to time series
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Stochastic Limit Theory
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(2)

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

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