Revisiting the estimation of the error density in functional autoregressive models

DOI10.1016/j.jkss.2015.04.005zbMath1327.62242OpenAlexW216199452MaRDI QIDQ892893

Bruno Portier, Nadine Hilgert

Publication date: 12 November 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.04.005

zbMATH Keywords

kernel density estimationgoodness-of-fit testfunctional autoregressive modelsmultivariate central limit theorem

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07)

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An updated review of goodness-of-fit tests for regression models
• Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• Strongly consistent density estimation of the regression residual
• Consistent nonparametric estimation of error distributions in linear model
• Residuals density estimation in nonparametric regression
• Weak and strong uniform consistency of a kernel error density estimator in nonparametric regression
• Estimating the density of the residuals in autoregressive models
• On the Bickel-Rosenblatt test for first-order autoregressive models
• Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains.
• On some global measures of the deviations of density function estimates
• Estimation of the density of regression errors
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• Goodness-of-fit test using residuals in infinite-order autoregressive models
• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $\alpha$-mixing error terms
• The Kolmogorov-Smirnov, Cramer-von Mises Tests
• Kernel Density Estimation and Goodness-of-Fit Test in Adaptive Tracking
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• A Test of Linearity for Functional Autoregressive Models
• Nonlinear Adaptive Tracking Using Kernel Estimators: Estimation and Test for Linearity
• Combinatorial methods in density estimation

This page was built for publication: Revisiting the estimation of the error density in functional autoregressive models