Goodness-of-Fit tests with Dependent Observations
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DOI: 10.1088/1742-5468/2011/09/P09003
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Cited by:
- Michele Caraglio & Fulvio Baldovin & Attilio L. Stella, 2021. "How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration," JRFM, MDPI, vol. 14(8), pages 1-15, August.
- Morales, Raffaello & Di Matteo, T. & Gramatica, Ruggero & Aste, Tomaso, 2012. "Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3180-3189.
- Dangxing Chen, 2019. "Does the leverage effect affect the return distribution?," Papers 1909.08662, arXiv.org, revised Sep 2019.
- Alex D Washburne & Joshua W Burby & Daniel Lacker, 2016. "Novel Covariance-Based Neutrality Test of Time-Series Data Reveals Asymmetries in Ecological and Economic Systems," PLOS Computational Biology, Public Library of Science, vol. 12(9), pages 1-14, September.
- Zhang, Hong & Wu, Zheyang, 2022. "The general goodness-of-fit tests for correlated data," Computational Statistics & Data Analysis, Elsevier, vol. 167(C).
- Partida, Alberto & Gerassis, Saki & Criado, Regino & Romance, Miguel & Giráldez, Eduardo & Taboada, Javier, 2022. "The chaotic, self-similar and hierarchical patterns in Bitcoin and Ethereum price series," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
- Chicheportiche, Rémy & Chakraborti, Anirban, 2017. "A model-free characterization of recurrences in stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 312-318.
- Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
- Vance Martin & Yoshihiko Nishiyama & John Stachurski, 2011.
"A Goodness of Fit Test for Ergodic Markov Processes,"
ANU Working Papers in Economics and Econometrics
2011-557, Australian National University, College of Business and Economics, School of Economics.
- Vance Martin & Yoshihiko Nishiyama & John Stachurski, 2011. "A Goodness Of Fit Test For Ergodic Markov Processes," KIER Working Papers 787, Kyoto University, Institute of Economic Research.
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Keywords
stochastic processes; extreme value statistics; models of financial markets;All these keywords.
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