Goodness-of-fit tests for long memory moving average marginal density

DOI10.1007/s00184-012-0383-yzbMath1256.62051OpenAlexW2060942434MaRDI QIDQ1938500

Hira L. Koul, Nao Mimoto, Donatas Surgailis

Publication date: 21 February 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0383-y

zbMATH Keywords

kernel density estimatorresidual empirical processchi square distribution

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Related Items

Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory, A goodness-of-fit test for marginal distribution of linear random fields with long memory, On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications, Comparing the marginal densities of two strictly stationary linear processes, Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models, Tests for time series of counts based on the probability-generating function

Uses Software

• longmemo

Cites Work

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