dc.creator | Henze, Norbert | es |
dc.creator | Jiménez Gamero, María Dolores | es |
dc.date.accessioned | 2019-09-13T07:31:35Z | |
dc.date.available | 2019-09-13T07:31:35Z | |
dc.date.issued | 2019-06 | |
dc.identifier.citation | Henze, N. y Jiménez Gamero, M.D. (2019). A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function. TEST, 28 (2), 499-521. | |
dc.identifier.issn | 1133-0686 | es |
dc.identifier.issn | 1863-8260 | es |
dc.identifier.uri | https://hdl.handle.net/11441/89115 | |
dc.description.abstract | We generalize a recent class of tests for univariate normality that are based on the empirical moment generating function to the multivariate setting, thus obtaining a class of affine invariant, consistent and easy-to-use goodness-of-fit tests for multinormality. 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 study the finite-sample behavior of the new tests, compare the criteria with alternative existing procedures, and apply the new procedure to a data set of monthly log returns. | es |
dc.description.sponsorship | Ministerio de Economía y Competitividad (MINECO). España | es |
dc.format | application/pdf | es |
dc.language.iso | eng | es |
dc.publisher | Springer | es |
dc.relation.ispartof | TEST, 28 (2), 499-521. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
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 | A new class of tests for multinormality with i.i.d. and garch data based on the empirical moment generating function | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.type.version | info:eu-repo/semantics/submittedVersion | 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.projectID | MTM2014-55966-P | es |
dc.relation.publisherversion | https://link.springer.com/content/pdf/10.1007%2Fs11749-018-0589-z.pdf | es |
dc.identifier.doi | 10.1007/s11749-018-0589-z | es |
dc.contributor.group | Universidad de Sevilla. FQM153: Estadística e Investigación Operativa | es |
idus.format.extent | 27 p. | es |
dc.journaltitle | TEST | es |
dc.publication.volumen | 28 | es |
dc.publication.issue | 2 | es |
dc.publication.initialPage | 499 | es |
dc.publication.endPage | 521 | es |