On Entropy Test for Conditionally Heteroscedastic Location-Scale Time Series Models
نویسندگان
چکیده
This study considers the goodness of fit test for a class of conditionally heteroscedastic location-scale time series models. For this task, we develop an entropy-type goodness of fit test based on residuals. To examine the asymptotic behavior of the test, we first investigate the asymptotic property of the residual empirical process and then derive the limiting null distribution of the entropy test.
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عنوان ژورنال:
- Entropy
دوره 19 شماره
صفحات -
تاریخ انتشار 2017