Goodness-of-fit tests for centralized Wishart processes

DOI10.1080/03610926.2019.1612917MaRDI QIDQ5078009zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

Bartlett decompositiongoodness-of-fit testparameter uncertaintyWishart autoregressive processWishart distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Goodness-of-fit tests for continuous-time stationary processes
• Goodness-of-fit tests for parametric nonhomogeneous Markov processes
• Goodness-of-fit tests in long-range dependent processes under fixed alternatives
• Goodness-of-fit tests for parametric hypotheses on the distribution of point processes
• On score-functions and goodness-of-fit tests for stochastic processes
• A nonparametric goodness of fit test for strong mixing processes
• Goodness-of-fit tests based on sup-functionals of weighted empirical processes
• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions

Cites work

• 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
• A sequential test for the specification of predictive densities
• A Test of Goodness of Fit
• An analysis of variance test for normality (complete samples)
• Analysis of financial time series
• Computer age statistical inference. Algorithms, evidence, and data science
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Factor Multivariate Stochastic Volatility via Wishart Processes
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 1031896 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• Modeling and forecasting realized covariance matrices with accounting for leverage
• Modeling and Forecasting Realized Volatility
• Multivariate extension of chi-squared univariate normality test
• Multivariate Stochastic Volatility: A Review
• The bootstrap in econometrics
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The Kolmogorov-Smirnov Test for Goodness of Fit
• The Multivariate Portmanteau Statistic
• The Wishart autoregressive process of multivariate stochastic volatility

Cited in

(5)

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

Describes a project that uses

Uses Software

• boot

This page was built for publication: Goodness-of-fit tests for centralized Wishart processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5078009)