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DATA-DRIVEN SCORE TEST OF FIT FOR CONDITIONAL DISTRIBUTION IN THE GARCH(l,l) MODEL
GARCH(1,l) model noise distribution efficient score vector score test BIC Schwarz selection rule
2009/9/18
A data-driven score test for a conditional distribution
in the GARCH(1,l) model is proposed. Conditional distribution assumption
is verified by a score test, obtained from nesting the null
density ...
A quantile-score test for experimental design
Analysis of variance interaction linear models
2010/9/15
Nonparametric rank tests are important tools for experimental designs,for example: rank transformation, normal-score rank test. There are discussions and controversies in the literatures concerning so...
Score test statistic has been successfully used to solve many problems in the regression model.In this paper,we use the method to study the problem of local influence of a covariance perturbation in a...