Goodness-of-fit tests with dependent observations

Goodness of Fit Test for Dependent Observations

Introduction. The goodness of t tests of the empirical data to one theoretical distribution, and particularly the χ of Pearson, are very used in practice, also as preliminary step for the use of methods of parametric inference which are consistent with precise models of distribution. Gasser [10] explored the χ test for correlated data by simulations and, subsequently, Moore [14] and Gleser and ...

Goodness-of-fit tests for multiplicative models with dependent data

Several classical time series models can be written as a regression model of the form Yt = m(Xt) + σ(Xt)εt, where (Xt, Yt), t = 0,±1,±2, . . ., is a bivariate strictly stationary process. Some of those models, such as ARCH or GARCH models, share the property of proportionality of the regression function, m, and the scale function, σ. In this article, we present a procedure to test for this feat...

The Comparison Between Goodness of Fit Tests for Copula

‎Copula functions as a model can show the relationship between variables‎. ‎Appropriate copula function for a specific application is a function that shows the dependency between data in a best way‎. ‎Goodness of fit tests theoretically are the best way in selection of copula function‎. ‎Different ways of goodness of fit for copula exist‎. ‎In this paper we will examine the goodness of fit test...

On Goodness-of-fit Tests

Anderson-Darling Tests of Goodness-of-Fit