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math.ST2019★ 1 cited
Goodness-of-Fit Testing for Time Series Models via Distance Covariance
Phyllis Wan, Richard A. Davis
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the estimated residuals. In the time series setting, whiteness of the residuals is asse…
math.ST2015★ 30 cited
Bias correction in multivariate extremes
Anne-Laure Fougères, Laurens de Haan, Cécile Mercadier
The estimation of the extremal dependence structure is spoiled by the impact of the bias, which increases with the number of observations used for the estimation. Already known in…