Psaradakis, Zacharias and Vavra, Marian (2015) A distance test of normality for a wide class of stationary processes. Working Paper. Birkbeck College, University of London, London, UK.
|
Text
15266.pdf - Published Version of Record Available under License Creative Commons Attribution. Download (385kB) | Preview |
Abstract
This paper considers a distance test for normality of the one-dimensional marginal distribution of stationary fractionally integrated processes. The test is implemented by using an autoregressive sieve bootstrap approximation to the null sampling distribution of the test statistic. The bootstrap-based test does not require knowledge of either the dependence parameter of the data or of the appropriate norming factor for the test statistic. The small-sample properties of the test are examined by means of Monte Carlo experiments. An application to real-world data is also presented.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | ISSN 1745-8587: BWPEF 1513 |
| Keyword(s) / Subject(s): | Distance test, fractionally integrated process, Sieve bootstrap, normality |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 20 May 2016 09:01 |
| Last Modified: | 07 Aug 2025 23:44 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15266 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
