Testing Independence in Linear Process with Non-Normal Innovations

DOI10.1080/03610926.2010.481476zbMath1217.62130OpenAlexW2063328227MaRDI QIDQ3017850

Y. Berkoun, Hamid Douki

Publication date: 20 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.481476

zbMATH Keywords

Bahadur representationsample quantilestable distributionstrong mixing process\(m\)-dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Cites Work

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• The Bahadur representation for sample quantiles under negatively associated sequence
• Mixing: Properties and examples
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• The Bahadur representation for sample quantiles under weak dependence
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Non-strong mixing autoregressive processes
• Mixing properties of harris chains and autoregressive processes
• Central Limit Theorems for dependent variables. I
• On robust estimation in the first order autoregressive processes
• Strong mixing properties of linear stochastic processes
• A Note on Quantiles in Large Samples

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