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

goodness-of-fit testWishart distributionparameter uncertaintyBartlett decompositionWishart autoregressive process

Mathematics Subject Classification ID

Statistics (62-XX)

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• Modeling and Forecasting Realized Volatility
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• Multivariate extension of chi-squared univariate normality test
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• The bootstrap in econometrics
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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

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