Search Results - subject:"Goodness–of–fit"

Tests for multivariate normality based on canonical correlations

Thulin, Måns - In: Statistical Methods and Applications 23 (2014) 2, pp. 189-208

We propose new affine invariant tests for multivariate normality, based on independence characterizations of the sample moments of the normal distribution. The test statistics are obtained using canonical correlations between sets of sample moments in a way that resembles the construction of...

Persistent link: https://www.econbiz.de/10010998685

Goodness-of-fit testing for the Gompertz growth curve model

Chakraborty, Bratati; Bhattacharya, Sabyasachi; Basu, … - In: METRON 72 (2014) 1, pp. 45-64

In this paper we develop some natural “goodness-of-fit” tests for the Gompertz growth curve model (GGCM) based on the … empirical estimate of relative growth rate (RGR). Existing approaches of goodness-of-fit tests for growth curve models are …, Biometrics 35:255–271, <CitationRef CitationID="CR19">1979</CitationRef>). We therefore expect that a goodness-of-fit test for …

Persistent link: https://www.econbiz.de/10011000660

Dependence structure between CEEC-3 and German government securities markets

Yang, Lu; Hamori, Shigeyuki - In: Journal of International Financial Markets, … 29 (2014) C, pp. 109-125

We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European...

Persistent link: https://www.econbiz.de/10010743653

On the empirical characteristic function process of the residuals in GARCH models and applications

Gamero, M. Jiménez - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 2, pp. 409-432

to calculate the residuals. Applications of the obtained results for testing symmetry and goodness-of-fit to the law of …

Persistent link: https://www.econbiz.de/10010994239

The Bickel–Rosenblatt test for continuous time stochastic volatility models

Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 1, pp. 195-218

In this paper, we consider the Bickel–Rosenblatt test for continuous time stochastic volatility models. The test is constructed based on discretely observed samples by measuring integrated squared deviations between the nonparametric kernel density estimate from the observations and a...

Persistent link: https://www.econbiz.de/10010994261

Goodness-of-fit tests for parametric nonhomogeneous Markov processes

Bagdonavičius, V.; Nikulin, M. - In: Metrika 77 (2014) 1, pp. 185-209

Tests for parametric nonhomogeneous and homogeneous Markov processes are given. Asymptotic distribution of test statistics is investigated. Tests for various well-known models are discussed as examples. Copyright Springer-Verlag Berlin Heidelberg 2014

Persistent link: https://www.econbiz.de/10010995157

Testing for the bivariate Poisson distribution

Novoa-Muñoz, F.; Jiménez-Gamero, M. - In: Metrika 77 (2014) 6, pp. 771-793

This paper studies goodness-of-fit tests for the bivariate Poisson distribution. Specifically, we propose and study … for finite sample sizes. Extensions for testing goodness-of-fit for the multivariate Poisson distribution are also …

Persistent link: https://www.econbiz.de/10010995193

Recognizing and visualizing copulas : an approach using local Gaussian approximation

Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance / Mathematics & economics 57 (2014), pp. 90-103

Persistent link: https://www.econbiz.de/10010402717

Dependence structure between CEEC-3 and German government securities markets

Yang, Lu; Hamori, Shigeyuki - In: Journal of international financial markets, … 29 (2014), pp. 109-125

Persistent link: https://www.econbiz.de/10010411545

In the quest for economic significance : assessing variable importance through mean value decomposition

Holgersson, Thomas H. E.; Norman, T.; Tavassoli, S. - In: Applied economics letters 21 (2014) 7/9, pp. 545-549

Persistent link: https://www.econbiz.de/10010414198