Goodness-of-fit testing under long memory

DOI10.1016/j.jspi.2010.04.039zbMath1233.62152OpenAlexW2106604592MaRDI QIDQ993816

Hira L. Koul, Donatas Surgailis

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.039

zbMATH Keywords

moving averagesresidual empirical processsecond order expansion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items

Smooth Estimation of Error Distribution in Nonparametric Regression Under Long Memory, A goodness-of-fit test for marginal distribution of linear random fields with long memory, Goodness-of-fit tests for long memory moving average marginal density, On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications, Block Bootstrap for the Empirical Process of Long‐Range Dependent Data, Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors, Empirical process of residuals for regression models with long memory errors, Comparing the marginal densities of two strictly stationary linear processes, Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models, Tests for time series of counts based on the probability-generating function

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Multiple Wiener-Itô integrals. With applications to limit theorems
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Residual empirical processes for long and short memory time series
• Asymptotic normality of regression estimators with long memory errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Weighted empirical processes in dynamic nonlinear models.
• On the asymptotic expansion of the empirical process of long-memory moving averages
• The empirical process of a short-range dependent stationary sequence under Gaussian subordination
• Long memory processes and fractional integration in econometrics
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Consistent estimation of the memory parameter for nonlinear time series
• Kolmogorov-Smirnov tests when parameters are estimated with applications to tests of exponentiality and tests on spacings
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item