Abstract
This study considers the cumulative residual entropy (CRE)-based goodness of fit (GOF) test for location-scale time series models. The CRE-based GOF test for iid samples is introduced and the asymptotic behavior of the CRE-based GOF test and its bootstrap version is investigated for location-scale time series models. In particular, the influence of change points on the GOF test is studied through Monte Carlo simulations.
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