基于 i.i.d. 数据的多元 Student-t 分布和 GARCH 观察结果的拟合优度检验

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2023-08-03 DOI:10.1111/jtsa.12713

Simos Meintanis, Bojana Milošević, Marko Obradović, Mirjana Veljović

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引用次数: 0

摘要

我们考虑用 i.i.d. 数据对多元 Student's t 分布进行拟合优度检验，以及对广义自回归条件异方差模型中的创新分布进行拟合优度检验。这些方法以经验特征函数为基础，相对容易实现，在线性变换下不变，并且全局一致。研究了所提程序的渐近特性，并通过蒙特卡罗研究说明了其有限样本特性。这些程序还应用于金融市场的真实数据。

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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Goodness-of-fit tests for the multivariate Student-t distribution based on i.i.d. data, and for GARCH observations

We consider goodness-of-fit tests for the multivariate Student's t-distribution with i.i.d. data and for the innovation distribution in a generalized autoregressive conditional heteroskedasticity model. The methods are based on the empirical characteristic function and are relatively easy to implement, invariant under linear transformations, and globally consistent. Asymptotic properties of the proposed procedures are investigated, while the finite-sample properties are illustrated by means of a Monte Carlo study. The procedures are also applied to real data from the financial markets.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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