Optimal Range for the iid Test Based on Integration Across the Correlation Integral
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Publication:5697353
tablesMonte Carlochaosnonlinear dynamicscorrelation integralhigh-frequency economic and financial datapower testssingle-blind competition
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Robustness and adaptive procedures (parametric inference) (62F35) Dynamical systems in optimization and economics (37N40) Applications of dynamical systems (37N99)
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Cites work
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- The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
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