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stat.ME2020
Multivariate goodness-of-Fit tests based on Wasserstein distance
Marc Hallin, Gilles Mordant, Johan Segers
Goodness-of-fit tests based on the empirical Wasserstein distance are proposed for simple and composite null hypotheses involving general multivariate distributions. For group fami…
stat.ME2020
M-estimation in GARCH Models in the Absence of Higher-Order Moments
Marc Hallin, Hang Liu, Kanchan Mukherjee
We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asympto…