Maximum Entropy Test for Autoregressive Models

DOI10.1007/978-3-642-35443-4_8zbMath1322.62220OpenAlexW45666389MaRDI QIDQ2950561

Sangyeol Lee, Siyun Park

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_8

zbMATH Keywords

goodness of fit testtime series modelsmaximum entropy measureunstable autoregressive models

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Entropy test and residual empirical process for autoregressive conditional duration models ⋮ Omnibus goodness of fit test based on quadratic distance

Uses Software

• FinTS

Cites Work

• Unnamed Item
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• Bootstrap based goodness-of-fit-tests
• A note on the Jarque-Bera normality test for GARCH innovations
• Weak convergence of the sample distribution function when parameters are estimated
• Analysis of Financial Time Series

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