GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
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Publication:2986521
DOI10.1017/S0266466615000419zbMath1442.62730MaRDI QIDQ2986521
Publication date: 16 May 2017
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (6)
Some copula inference procedures adapted to the presence of ties ⋮ Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines ⋮ Statistics for heteroscedastic time series extremes ⋮ Method of moments estimators for the extremal index of a stationary time series ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ A note on conditional versus joint unconditional weak convergence in bootstrap consistency results
Uses Software
Cites Work
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