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DATA-DRIVEN SCORE TEST OF FIT FOR CONDITIONAL DISTRIBUTION IN THE GARCH(l,l) MODEL
GARCH(1,l) model noise distribution efficient score vector score test BIC Schwarz selection rule
2009/9/18
A data-driven score test for a conditional distribution
in the GARCH(1,l) model is proposed. Conditional distribution assumption
is verified by a score test, obtained from nesting the null
density ...
A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
Can one estimate the conditional distribution of post-model-selection estimators?
Inference after model selection post-model-selection estimator pre-test estimator selection of regressors
2010/4/27
We consider the problem of estimating the conditional distribution
of a post-model-selection estimator where the conditioning is on
the selected model. The notion of a post-model-selection estimator...