Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices

DOI10.1007/s10182-012-0202-9zbMath1443.62220OpenAlexW2163916266MaRDI QIDQ1621243

Joanna Janczura, Rafał Weron

Publication date: 8 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-012-0202-9

zbMATH Keywords

goodness-of-fitregime-switchingKolmogorov-Smirnov testenergy economicsweighted empirical distribution function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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