Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Year of publication: |
2023
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Authors: | Luo, Donghang ; Zhu, Ke ; Gong, Huan ; Li, Dong |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 1, p. 111-125
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Subject: | Consistent test | Copula time series model | Kernelized Stein discrepancy | Multivariate time series model | Testing multivariate error distribution | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Multivariate Analyse | Multivariate analysis |
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