most citedTesting error distribution by kernelized Stein discrepancy in multivariate time series models

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econ.EM2020★ 1 cited

Testing error distribution by kernelized Stein discrepancy in multivariate time series models

Donghang Luo, Ke Zhu, Huan Gong +1

Knowing the error distribution is important in many multivariate time series applications. To alleviate the risk of error distribution mis-specification, testing methodologies are…