GARCH模型的最大熵检验

Q Mathematics

Statistical Methodology Pub Date : 2015-01-01 DOI:10.1016/j.stamet.2014.05.002

Jiyeon Lee , Sangyeol Lee , Siyun Park

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引用次数: 13

摘要

在本文中，我们将设计用于id样本拟合优度的最大熵检验(cf. Lee et al.(2011))应用于GARCH(1,1)模型。在零假设下，导出了其近似渐近分布。本文还讨论了该测试的自举版本，并通过蒙特卡罗模拟对其性能进行了评估。并以实际数据分析为例进行说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Maximum entropy test for GARCH models

In this paper, we apply the maximum entropy test designed for a goodness of fit in iid samples (cf. Lee et al. (2011)) to GARCH(1,1) models. Its approximate asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is also discussed and its performance is evaluated through Monte Carlo simulations. A real data analysis is conducted for illustration.

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来源期刊

Statistical Methodology STATISTICS & PROBABILITY-

CiteScore

0.59

自引率

0.00%

发文量

期刊介绍： Statistical Methodology aims to publish articles of high quality reflecting the varied facets of contemporary statistical theory as well as of significant applications. In addition to helping to stimulate research, the journal intends to bring about interactions among statisticians and scientists in other disciplines broadly interested in statistical methodology. The journal focuses on traditional areas such as statistical inference, multivariate analysis, design of experiments, sampling theory, regression analysis, re-sampling methods, time series, nonparametric statistics, etc., and also gives special emphasis to established as well as emerging applied areas.