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    A distance test of normality for a wide class of stationary processes

    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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    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.


    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


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