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

Goodness of fit test for discrete random variables

Lee, Sangyeol - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 92-100

In this paper, a goodness of fit (gof) test for discrete random variables is studied. For the test, the empirical …

Persistent link: https://www.econbiz.de/10011056606

On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes

Kleptsyna, M.; Kutoyants, Yu. - In: Statistical Inference for Stochastic Processes 17 (2014) 3, pp. 295-319

We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposed that under the basic hypothesis the trend coefficient depends on a finite-dimensional parameter and we study the Cramér-von Mises type...

Persistent link: https://www.econbiz.de/10010949409

Parametric Lorenz curves and the modality of the income density function

Krause, Melanie - In: The review of income and wealth : journal of the … 60 (2014) 4, pp. 905-929

Persistent link: https://www.econbiz.de/10010457417

Generalized score tests for missing covariate data

Wang, Suojin (contributor) - 2007

In this dissertation, the generalized score tests based on weighted estimating equationsare proposed for missing covariate data. Their properties, including the effectsof nuisance functions on the forms of the test statistics and efficiency of the tests,are investigated. Different versions of...

Persistent link: https://www.econbiz.de/10009464824

On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters

Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - 2007

goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown …

Persistent link: https://www.econbiz.de/10010328518

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2007

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

Persistent link: https://www.econbiz.de/10005440034

On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters

Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - Laboratory of Economics and Management (LEM), Scuola … - 2007

goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown … Distribution Function Goodness-of-Fit Tests" Applied Statistics 38, 535{543. 5 Devroye, L. (1986) Non-Uniform Random Variate …: The Indian Journal of Statistics 66, 63-74. D’Agostino , R.B. and Stephens, M.A. (1986) Goodness of Fit Techniques, Marcel …

Persistent link: https://www.econbiz.de/10005650091

Multivariable modeling with cubic regression splines: A principled approach

Royston, Patrick; Sauerbrei, Willi - In: Stata Journal 7 (2007) 1, pp. 45-70

realistic, parsimonious final models; a goodness-of-fit test for a parametric function of a predictor; and a preliminary …

Persistent link: https://www.econbiz.de/10005583345

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Volatility and Jump Risk Premia in Emerging Market Bonds

Matovu, John - International Monetary Fund (IMF) - 2007

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...

Persistent link: https://www.econbiz.de/10005825819