Goodness-of-fit tests for centralized Wishart processes
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Publication:5078009
DOI10.1080/03610926.2019.1612917OpenAlexW2946443496WikidataQ127844601 ScholiaQ127844601MaRDI QIDQ5078009
Taras Bodnar, Gustav Alfelt, Joanna Tyrcha
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1612917
Wishart distributionparameter uncertaintygoodness-of-fit testBartlett decompositionWishart autoregressive process
Related Items (3)
Unrestricted, restricted, and regularized models for forecasting multivariate volatility ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Closed-form estimator for the matrix-variate Gamma distribution
Uses Software
Cites Work
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