Abstract In this paper we consider the empirical process of the errors appearing in a generalized autoregressive conditional heteroskedastic with stochastic mean (GARCH-SM) model. Various functional tests of conditional symmetry can be built on the basis of the limiting distribution of this...

Goodness-of-fit test statistics are widely used in health and medicine related surveys however little regard is usually given to their statistical power. This paper investigates the simulated power of five categorical goodness-of-fit test statistics used to analyze health and medicine survey...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has been proved to be particularly valuable in modeling financial data. This paper is devoted to study the empirical characteristic function process of the residuals. Specifically, it is shown that such process...

In this paper, we consider the Bickel–Rosenblatt test for continuous time stochastic volatility models. The test is constructed based on discretely observed samples by measuring integrated squared deviations between the nonparametric kernel density estimate from the observations and a...

Tests for parametric nonhomogeneous and homogeneous Markov processes are given. Asymptotic distribution of test statistics is investigated. Tests for various well-known models are discussed as examples. Copyright Springer-Verlag Berlin Heidelberg 2014

This paper studies goodness-of-fit tests for the bivariate Poisson distribution. Specifically, we propose and study several Cramér–von Mises type tests based on the empirical probability generating function. They are consistent against fixed alternatives for adequate choices of the weight...

The behaviour of the goodness-of-fit procedure for normality based on weighted integrals of the empirical characteristic function, discussed in the case of i.i.d. data, for instance, in Epps and Pulley (Biometrika 70:723–726, <CitationRef CitationID="CR7">1983</CitationRef>), is considered here in the context of ranked set sampling...</citationref>

In Mexico, poverty has forced people to live almost on the water of rivers. This situation along with the occurrence of floods is a serious problem for the local governments. In order to protect their lives and goods, it is very important to account with a mathematical tool that may reduce the...

This article studies the robustness of confidence interval construction for the intraclass kappa statistic based on a dichotomous response when the assumption of marginal homogeneity across two raters is violated. Two methods of construction are considered: the goodness-of-fit approach and the...

We propose new affine invariant tests for multivariate normality, based on independence characterizations of the sample moments of the normal distribution. The test statistics are obtained using canonical correlations between sets of sample moments in a way that resembles the construction of...