On the Bickel-Rosenblatt test for first-order autoregressive models

DOI10.1016/S0167-7152(01)00143-2zbMath0994.62082OpenAlexW2044525143MaRDI QIDQ1612967

Seongryong Na, Sangyeol Lee

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00143-2

zbMATH Keywords

stationary processgoodness of fit testunstable processAR(1) processexplosive processGaussian test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

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• Weak convergence of the residual empirical process in explosive autoregression
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
• On residual empirical processes of stochastic regression models with applications to time series
• On some global measures of the deviations of density function estimates
• Weak convergence of the sample distribution function when parameters are estimated
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Testing normality in autoregressive models

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