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.
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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: | 02 Aug 2023 17:24 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15266 |
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