A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms

zbMath1340.62085arXiv1408.3388MaRDI QIDQ2941328

Ok-Kyong Kim, Myong-Guk Sin, Kyong-Hui Kim

Publication date: 27 August 2015

Full work available at URL: https://arxiv.org/abs/1408.3388

zbMATH Keywords

goodness-of-fit testautoregressive processerror density estimation

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)

Related Items (2)

Law of the iterated logarithm for error density estimators in nonlinear autoregressive models ⋮ Revisiting the estimation of the error density in functional autoregressive models

This page was built for publication: A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms