4 papers · 1 filter
Goodness-of-fit tests for stochastic frontier models based on the characteristic function
Simos G. Meintanis, Christos K. Papadimitriou
We consider goodness-of-fit tests for the distribution of the composed error in Stochastic Frontier Models. The proposed test statistic utilizes the characteristic function of the…
Tests for circular symmetry of complex-valued random vectors
Norbert Henze, Pierre Lafaye de Micheaux, Simos G. Meintanis
We propose tests for the null hypothesis that the law of a complex-valued random vector is circularly symmetric. The test criteria are formulated as -type criteria based on em…
Tests for validity of the semiparametric heteroskedastic transformation model
Marie Hušková, Simos G. Meintanis, Charl Pretorius
There exist a number of tests for assessing the nonparametric heteroscedastic location-scale assumption. Here we consider a goodness-of-fit test for the more general hypothesis of…
Characterizations of multinormality and corresponding tests of fit, including for Garch models
Norbert Henze, María Dolores Jiménez-Gamero, Simos G. Meintanis
We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to co…