Entropy test and residual empirical process for autoregressive conditional duration models

DOI10.1016/J.CSDA.2014.12.006zbMath1468.62116OpenAlexW1999651127MaRDI QIDQ1663317

Haejune Oh, Sangyeol Lee

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.12.006

zbMATH Keywords

residual empirical processparametric bootstrap methodentropy based goodness of fit testnonlinear ACD model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (2)

Empirical likelihood confidence regions for one- or two-samples with doubly censored data ⋮ Goodness-of-fit tests in conditional duration models

Cites Work

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