A maximum entropy type test of fit: Composite hypothesis case
AbstractIn this paper, we propose a goodness of fit test based on maximum entropy. As an extension of the result on the simple versus simple hypothesis case handled by Lee et al. (2011), a composite hypothesis case is taken into consideration. To eliminate the parameter estimation effect, we apply the Khmaladze transformation for the empirical process and obtain the asymptotic distribution of the proposed test. The performance of the test is investigated through Monte Carlo simulations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 57 (2013)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Maximum entropy test; Goodness of fit test; K-transformation; Unstable autoregressive model;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, Sangyeol & Vonta, Ilia & Karagrigoriou, Alex, 2011. "A maximum entropy type test of fit," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2635-2643, September.
- repec:cup:cbooks:9780521496032 is not listed on IDEAS
- Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
- Bera, Anil K. & Jarque, Carlos M., 1981. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals : Monte Carlo Evidence," Economics Letters, Elsevier, vol. 7(4), pages 313-318.
- Sangyeol Lee & Okyoung Na & Seongryong Na, 2003. "On the cusum of squares test for variance change in nonstationary and nonparametric time series models," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(3), pages 467-485, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.