Artículo
Characterizations of multinormality and corresponding tests of fit, including for Garch models
Autor/es | Henze, Norbert
Jiménez Gamero, María Dolores Meintanis, Simos G. |
Departamento | Universidad de Sevilla. Departamento de Estadística e Investigación Operativa |
Fecha de publicación | 2018-05-22 |
Fecha de depósito | 2022-11-03 |
Publicado en |
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Resumen | 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, ... 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. |
Cita | 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. |
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