3 papers
math.ST2026
Robust Bayesian estimation in conditionally heteroscedastic time series models
Jeongho Lee, Junmo Song
Outliers can seriously distort statistical inference by inducing excessive sensitivity in the likelihood function, thereby compromising the reliability of Bayesian estimation. To a…
stat.ME2025
Robust tests for parameter change in conditionally heteroscedastic time series models
Junmo Song
Structural changes and outliers often coexist, complicating statistical inference. This paper addresses the problem of testing for parameter changes in conditionally heteroscedasti…
stat.ME2024
Information matrix test for normality of innovations in stationary time series models
Zixuan Liu, Junmo Song
This study focuses on the problem of testing for normality of innovations in stationary time series models.To achieve this, we introduce an information matrix (IM) based test. Whil…