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Cumulative Residual Entropy-Based Goodness of Fit Test for Location-Scale Time Series Model

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Structural Changes and their Econometric Modeling (TES 2019)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 808))

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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.

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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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Authors and Affiliations

  1. Department of Statistics, Seoul National University, Seoul, South Korea

    Sangyeol Lee

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  1. Sangyeol Lee
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Correspondence to Sangyeol Lee .

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Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

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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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