Goodness-of-fit tests for centralized Wishart processes

DOI10.1080/03610926.2019.1612917OpenAlexW2946443496WikidataQ127844601 ScholiaQ127844601MaRDI QIDQ5078009FDOQ5078009

Authors: Gustav Alfelt, Taras Bodnar, Joanna Tyrcha 

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1612917

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zbMATH Keywords

goodness-of-fit testWishart distributionparameter uncertaintyBartlett decompositionWishart autoregressive process

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Multivariate Stochastic Volatility: A Review
• The conditional autoregressive Wishart model for multivariate stock market volatility
• A necessary power divergence-type family of tests for testing elliptical symmetry
• A necessary test of fit of specific elliptical distributions based on an estimator of Song's measure
• Analysis of financial time series
• The bootstrap in econometrics
• Modeling and forecasting realized covariance matrices with accounting for leverage
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• Computer age statistical inference. Algorithms, evidence, and data science
• A sequential test for the specification of predictive densities

Cited In (4)

• Unrestricted, restricted, and regularized models for forecasting multivariate volatility
• A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Closed-form estimator for the matrix-variate gamma distribution

Uses Software

• bootlib

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