On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
DOI10.1051/ps/2018016zbMath1422.62284arXiv1706.09811OpenAlexW2963591935MaRDI QIDQ5228346
Thi Mong Ngoc Nguyen, Agnès Lagnoux, Frédéric Proïa
Publication date: 12 August 2019
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.09811
hypothesis testinggoodness-of-fitnonparametric estimationautoregressive processresidual processParzen-Rosenblatt density estimatorBickel-Rosenblatt statistic
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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