TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS

DOI10.1017/S0266466609990612zbMath1290.62061OpenAlexW2132224021MaRDI QIDQ4933583

Andrew P. Blake, George Kapetanios

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990612

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Neural nets and related approaches to inference from stochastic processes (62M45)

Related Items

Forecasting the acquisition of university spin-outs: an RBF neural network approach ⋮ A neural network method for nonlinear time series analysis ⋮ Fourier–type tests involving martingale difference processes

Uses Software

• longmemo

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