Kernel-based testing with skewed and heavy-tailed data: Evidence from a nonparametric test for heteroskedasticity
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.08.007
Abstract: We examine the performance of a nonparametric kernel-based specification test in the presence of skewed and heavy-tailed regressors. We start by modifying the Zheng (2009) test for heteroskedasticity by removing the random denominator in the… read more here.
Keywords: kernel based; test heteroskedasticity; heavy tailed; test ... See more keywords
Distribution-Based Entropy Weighting Clustering of Skewed and Heavy Tailed Time Series
Sign Up to like & getrecommendations! Published in 2021 at "Symmetry"
DOI: 10.3390/sym13060959
Abstract: The goal of clustering is to identify common structures in a data set by forming groups of homogeneous objects. The observed characteristics of many economic time series motivated the development of classes of distributions that… read more here.
Keywords: time series; heavy tailed; time; distribution ... See more keywords