Goodness-of-fit testing (in Russian)
AbstractWe consider goodness-of-fit tests based on the empirical process theory. There are two main obstacles in obtaining critical values for such tests: the parameter estimation effect and distribution dependence. We discuss solutions to these problems: martingale transformation and bootstrap. As an illustration we show how to test GARCH and diffusion models.
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Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2011)
Issue (Month): 9 (July)
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Web page: http://quantile.ru/
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