Abstract
This study considers the cumulative residual entropy (CRE)-based goodness of fit (GOF) test for location-scale time series models. The CRE-based GOF test for iid samples is introduced and the asymptotic behavior of the CRE-based GOF test and its bootstrap version is investigated for location-scale time series models. In particular, the influence of change points on the GOF test is studied through Monte Carlo simulations.
Keywords
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Acknowledgements
This research is supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Science, ICT and future Planning (No. 2018R1A2A2A05019433).
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Lee, S. (2019). Cumulative Residual Entropy-Based Goodness of Fit Test for Location-Scale Time Series Model. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_7
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DOI: https://doi.org/10.1007/978-3-030-04263-9_7
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