Quantile Residuals for Multivariate Models

@inproceedings{Kalliovirta2007QuantileRF,
  title={Quantile Residuals for Multivariate Models},
  author={Leena Kalliovirta},
  year={2007}
}
  • Leena Kalliovirta
  • Published 2007
So-called quantile residuals are generalized for multivariate time series models. These residuals are applicable for example to nonlinear time series models based on mixture distributions for which conventional residuals are not well suited. We show that under mild regularity conditions multivariate quantile residuals are approximately independent with standard normal distribution. A general framework of obtaining tests based on smooth functions of quantile residuals and the likelihood function… CONTINUE READING

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