Now showing items 1-4 of 4

    • Fourier-type tests involving martingale difference processes 

      Hlavka, Zdenek; Meintanis, Simos G.; Huskova, Marie; Kirch, Claudia (Taylor & Francis, 2017)
      We develop testing procedures which detect if the observed time series is a martingale difference sequence. Furthermore, tests are developed that detect change–points in the conditional expectation of the series given its ...
    • Goodness-of-fit tests in conditional duration models 

      Meintanis, Simos G.; Milošević, Bojana; Obradović, Marko (Springer, 2017)
      We propose specification tests for the innovation distribution in conditional duration models. The new tests are based either on the cumulative distribution function, or on exponential transforms such as the Laplace transform ...
    • Independence tests in semiparametric transformation models 

      Hušková, Marie; Meintanis, Simos G.; Pretorius, Charl; Neumeyer, Natalie (SASA, 2018)
      Consider an observed response Y which, following a certain transformation Yϑ by := Tϑ (Y ), can be expressed by a homoskedastic nonparametric regression model reference a vector X of regressors. If this transformation model ...
    • Testing the adequacy of semiparametric transformation models 

      Allison, J.S.; Meintanis, S.G.; Hušková, M. (Springer, 2018)
      We consider a semiparametric model whereby the response variable following a transformation can be expressed by means of a regression model. In this model, the form of the transformation is specified analytically (up to ...