Characterizations of multinormality and corresponding tests of fit, including for Garch models

Henze, Norbert; Jiménez Gamero, María Dolores; Meintanis, Simos G.

doi:10.48550/arXiv.1706.03029

Artículo

dc.creator	Henze, Norbert	es
dc.creator	Jiménez Gamero, María Dolores	es
dc.creator	Meintanis, Simos G.	es
dc.date.accessioned	2022-11-03T07:52:30Z
dc.date.available	2022-11-03T07:52:30Z
dc.date.issued	2018-05-22
dc.identifier.citation	Henze, N., Jiménez Gamero, M.D. y Meintanis, S.G. (2018). Characterizations of multinormality and corresponding tests of fit, including for Garch models. Econometric theory, 35 (3), 510-546. https://doi.org/10.48550/arXiv.1706.03029.
dc.identifier.issn	0266-4666	es
dc.identifier.issn	1469-4360	es
dc.identifier.uri	https://hdl.handle.net/11441/138647
dc.description.abstract	We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for normality. The test statistics are suitably weighted L2-statistics, and we provide their asymptotic behavior both for i.i.d. observations as well as in the context of testing that the innovation distribution of a multivariate GARCH model is Gaussian. We also study the finite-sample behavior of the new tests and compare the new criteria with alternative existing tests.	es
dc.format	application/pdf	es
dc.format.extent	36 p.	es
dc.language.iso	eng	es
dc.publisher	Cornell University	es
dc.relation.ispartof	Econometric theory, 35 (3), 510-546.
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Characteristic function	es
dc.subject	Moment generating function	es
dc.subject	Goodness-of-fit test	es
dc.subject	multivariate normality	es
dc.subject	Gaussian GARCH model	es
dc.title	Characterizations of multinormality and corresponding tests of fit, including for Garch models	es
dc.type	info:eu-repo/semantics/article	es
dcterms.identifier	https://ror.org/03yxnpp24
dc.type.version	info:eu-repo/semantics/publishedVersion	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	es
dc.contributor.affiliation	Universidad de Sevilla. Departamento de Estadística e Investigación Operativa	es
dc.relation.publisherversion	https://doi.org/10.48550/arXiv.1706.03029	es
dc.identifier.doi	10.48550/arXiv.1706.03029	es
dc.contributor.group	Universidad de Sevilla. FQM153: Estadística e Investigación Operativa	es
dc.journaltitle	Econometric theory	es
dc.publication.volumen	35	es
dc.publication.issue	3	es
dc.publication.initialPage	510	es
dc.publication.endPage	546	es

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