A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
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Publication:321513
DOI10.1016/J.CRMA.2016.07.014zbMath1349.62398OpenAlexW2517978769MaRDI QIDQ321513
Michel Harel, Echarif Elharfaoui
Publication date: 13 October 2016
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2016.07.014
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20)
Cites Work
- A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models
- Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
- Nonparametric model checks for time series
- Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
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