A divergence test for autoregressive time series models
From MaRDI portal
Publication:634835
DOI10.1016/J.STAMET.2011.04.006zbMath1219.62138OpenAlexW2079265725MaRDI QIDQ634835
Sangyeol Lee, Alex Karagrigoriou
Publication date: 17 August 2011
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2011.04.006
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An improved Akaike information criterion for state-space model selection
- Limiting distributions of least squares estimates of unstable autoregressive processes
- On the Bickel-Rosenblatt test for first-order autoregressive models
- Frailty models for arbitrarily censored and truncated data
- On residual empirical processes of stochastic regression models with applications to time series
- On the cusum of squares test for variance change in nonstationary and nonparametric time series models
- Asymptotic divergence of estimates of discrete distributions
- Gaussian and non-Gaussian linear time series and random fields
- On some global measures of the deviations of density function estimates
- Weak convergence of the sample distribution function when parameters are estimated
- Divergence statistics: sampling properties and multinomial goodness of fit and divergence tests
- On Generalized Tests of Fit for Multinomial Populations
- Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence
- Criteria for Linear Model Selection Based on Kullback's Symmetric Divergence
- Powerful Goodness-of-fit Tests Based on the Likelihood Ratio
- A Chi-Square Statistic with Random Cell Boundaries
- The Use of Maximum Likelihood Estimates in $\chi^2$ Tests for Goodness of Fit
This page was built for publication: A divergence test for autoregressive time series models
