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stat.ME2025
Specification Tests for the Error--Law in Vector Multiplicative Errors Models
Šárka Hudecová, Simos G. Meintanis
We suggest specification tests for the error distribution in vector multiplicative error models (vMEM). The test statistic is formulated as a weighted integrated distance between t…
math.ST2025
Optimal Transport-Based Multivariate Goodness-of-Fit Tests
Zdeněk Hlávka, Šárka Hudecová, Simos G. Meintanis
Characteristic function-based goodness-of-fit tests are suggested for multivariate distributions. The test statistics, which are straightforward to compute, are defined as two-samp…