Goodness-of-fit tests for centralized Wishart processes

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

zbMATH Keywords

Wishart distributionparameter uncertaintygoodness-of-fit testBartlett decompositionWishart autoregressive process

Mathematics Subject Classification ID

Statistics (62-XX)

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

• bootlib

Cites Work

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• The Kolmogorov-Smirnov Test for Goodness of Fit
• A Test of Goodness of Fit
• The bootstrap in econometrics

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