Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator

Economics Letters ◽

10.1016/j.econlet.2017.11.003 ◽

2018 ◽

Vol 162 ◽

pp. 93-97

Author(s):

Byungsoo Kim

Keyword(s):

Maximum Entropy ◽

Garch Models ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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Minimum density power divergence estimator for GARCH models

Test ◽

10.1007/s11749-008-0093-y ◽

2008 ◽

Vol 18 (2) ◽

pp. 316-341 ◽

Author(s):

Sangyeol Lee ◽

Junmo Song

Keyword(s):

Garch Models ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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Minimum Density Power Divergence Estimator for Negative Binomial Integer-Valued GARCH Models

Communications in Mathematics and Statistics ◽

10.1007/s40304-020-00221-8 ◽

2021 ◽

Author(s):

Lanyu Xiong ◽

Fukang Zhu

Keyword(s):

Negative Binomial ◽

Garch Models ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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Minimum density power divergence estimator for Poisson autoregressive models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2014.06.009 ◽

2014 ◽

Vol 80 ◽

pp. 44-56 ◽

Author(s):

Jiwon Kang ◽

Sangyeol Lee

Keyword(s):

Autoregressive Models ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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Minimum density power divergence estimator for covariance matrix based on skew $$t$$ t distribution

Statistical Methods & Applications ◽

10.1007/s10260-014-0284-5 ◽

2014 ◽

Vol 23 (4) ◽

pp. 565-575

Author(s):

Byungsoo Kim ◽

Sangyeol Lee

Keyword(s):

Covariance Matrix ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence ◽

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Minimum Density Power Divergence Estimator for Diffusion Parameter in Discretely Observed Diffusion Processes

Communications for Statistical Applications and Methods ◽

10.5351/ckss.2007.14.2.267 ◽

2007 ◽

Vol 14 (2) ◽

pp. 267-280

Author(s):

Jun-Mo Song ◽

Sang-Yeol Lee ◽

Ok-Young Na ◽

Hyo-Jung Kim

Keyword(s):

Diffusion Processes ◽

Diffusion Parameter ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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The Minimum Density Power Divergence Approach in Building Robust Regression Models

Informatica ◽

10.15388/informatica.2011.313 ◽

2011 ◽

Vol 22 (1) ◽

pp. 43-56 ◽

Author(s):

Alessandra Durio ◽

Ennio Davide Isaia

Keyword(s):

Regression Models ◽

Robust Regression ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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A note on the asymptotic distribution of the minimum density power divergence estimator

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Recent Developments in Nonparametric Inference and Probability ◽

10.1214/074921706000000545 ◽

2006 ◽

pp. 334-339 ◽

Author(s):

Sergio F. Juárez ◽

William R. Schucany

Keyword(s):

Asymptotic Distribution ◽

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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The heuristic approach in finding initial values for minimum density power divergence estimators

Journal of Statistical Computation and Simulation ◽

10.1080/00949650903420558 ◽

2011 ◽

Vol 81 (4) ◽

pp. 471-480

Author(s):

A. Durio ◽

E. D. Isaia

Keyword(s):

Heuristic Approach ◽

Density Power Divergence ◽

Minimum Density ◽

Initial Values ◽

Power Divergence

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The Minimum Squared Distance Estimator and the Minimum Density Power Divergence Estimator

Communications for Statistical Applications and Methods ◽

10.5351/ckss.2009.16.6.989 ◽

2009 ◽

Vol 16 (6) ◽

pp. 989-995

Author(s):

Ro-Jin Pak

Keyword(s):

Density Power Divergence ◽

Minimum Density ◽

Power Divergence ◽

Distance Estimator

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Robust Wald-type tests for non-homogeneous observations based on the minimum density power divergence estimator

Metrika ◽

10.1007/s00184-018-0653-4 ◽

2018 ◽

Vol 81 (5) ◽

pp. 493-522 ◽

Author(s):

Ayanendranath Basu ◽

Abhik Ghosh ◽

Nirian Martin ◽

Leandro Pardo

Keyword(s):

Density Power Divergence ◽

Minimum Density ◽

Power Divergence

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