Empirical spectral processes for stationary state space models

DOI10.1016/j.spa.2022.10.008OpenAlexW4307568372MaRDI QIDQ2105074

Celeste Mayer, Vicky Fasen-Hartmann

Publication date: 8 December 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.12589

zbMATH Keywords

goodness of fit teststate space modelCramér-von Mises testempirical spectral processGrenander-Rosenblatt testMCARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional limit theorems; invariance principles (60F17)

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