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

Models for construction of multivariate dependence - a comparison study

Aas, Kjersti; Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 639-659

A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. In this paper, we compare two such models that differ in their representation of the dependency structure, namely the nested Archimedean...

Persistent link: https://www.econbiz.de/10008603207

A simple test for the parametric form of the variance function in nonparametric regression

Dette, Holger; Hetzler, Benjamin - In: Annals of the Institute of Statistical Mathematics 61 (2009) 4, pp. 861-886

Persistent link: https://www.econbiz.de/10008467098

Goodness-of-fit and detection problems in impulsive interference.

Brown, Christopher L. - 2000

estimation, signal detector design and goodness-of-fit tests. Significant contributions are made in the latter through the …, parameter estimation, goodness-of-fit, parametric bootstrap, signal detection, locally optimum detectors, rank-based detectors. …

Persistent link: https://www.econbiz.de/10009435004

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical … likelihood for an a-mixing process and formulate a statistic test measures the goodness-of-fit of a parametric model. The … technique is based on comparison with kernel smoothing estimators. The goodness of- fit test proposed is based on the …

Persistent link: https://www.econbiz.de/10010310402

Optimal designs for testing the functional form of a regression via nonparametric estimation techniques

Biedermann, Stefanie; Dette, Holger - 2000

For the problem of checking linearity in a heteroscedastic nonparametric regression model under a fixed design assumption we study maximin designs which maximize the minimum power of a nonparametric test over a broad class of alternatives from the assumed linear regression model. It is...

Persistent link: https://www.econbiz.de/10010316570

Functional-coefficient regression models for nonlinear time series

Cai, Zongwu; Fan, Jianqing; Yao, Qiwei - London School of Economics (LSE) - 2000

forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth selector based …

Persistent link: https://www.econbiz.de/10011126715

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - Sonderforschungsbereich 373, Quantifikation und … - 2000

Persistent link: https://www.econbiz.de/10010983709

Optimal designs for testing the functional form of a regression via nonparametric estimation techniques

Biedermann, Stefanie; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2000

Persistent link: https://www.econbiz.de/10010955411

Evaluation of a Pseudo-R2 Measure for Panel Probit Models

Spiess, Martin - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2000

represents the goodness- of-fit not only of the systematic part, but also of the assumed correlation structure in binary panel …

Persistent link: https://www.econbiz.de/10004963635

Optimal designs for testing the functional form of a regression via nonparametric estimation techniques

Biedermann, Stefanie; Dette, Holger - 2000

Persistent link: https://www.econbiz.de/10009783009