2019
DOI: 10.1080/03610926.2019.1612917
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Goodness-of-fit tests for centralized Wishart processes

Abstract: In this paper we present several goodness-of-fit tests for the centralized Wishart process, a popular matrix-variate time series model used to capture the stochastic properties of realized covariance matrices. The new test procedures are based on the extended Bartlett decomposition derived from the properties of the Wishart distribution and allows to obtain sets of independently and standard normally distributed random variables under the null hypothesis. Several tests for normality and independence are then a… Show more

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Cited by 4 publications
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