Goodness‐of‐fit tests for the multivariate Student‐<i>t</i> distribution based on i.i.d. data, and for GARCH observations-Reference-Cited by-同舟云学术

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

Published:2023-08-03 Issue:2 Volume:45 Page:298-319
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:Journal Time Series Analysis

Author:

Meintanis Simos¹²^ORCID,Milošević Bojana³^ORCID,Obradović Marko³^ORCID,Veljović Mirjana³

Affiliation:

1. Department of Economics National and Kapodistrian University of Athens Athens Greece

2. Pure and Applied Analytics North‐West University Potchefstroom South Africa

3. Faculty of Mathematics University of Belgrade Belgrade Serbia

Abstract

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.

Funder

European Cooperation in Science and Technology

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12713

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