Bootstrap entropy test for general location-scale time series models with heteroscedasticity

DOI10.1080/00949655.2018.1478977OpenAlexW2806235530MaRDI QIDQ4960705

Sangyeol Lee, Minjo Kim

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1478977

zbMATH Keywords

bootstrap methodgoodness-of-fit testresidual empirical processGARCH-type modelsentropy testlocation-scale models with heteroscedasticity

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Shannon's Entropy and Its Generalisations Towards Statistical Inference in Last Seven Decades ⋮ Omnibus goodness of fit test based on quadratic distance

Cites Work

• Bootstrap methods: another look at the jackknife
• A maximum entropy type test of fit
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Maximum entropy test for GARCH models
• On residual empirical processes of stochastic regression models with applications to time series
• A maximum entropy type test of fit: composite hypothesis case
• Bootstrap based goodness-of-fit-tests
• Weak convergence of the sample distribution function when parameters are estimated
• Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity
• Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters
• Autoregressive Conditional Density Estimation
• Stochastic Limit Theory
• On entropy-based goodness-of-fit test for asymmetric Student-t and exponential power distributions
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