Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing

DOI10.3103/S106653070902001XzbMath1231.62064OpenAlexW2027247389MaRDI QIDQ734559

Dette, Holger, Benjamin Hetzler

Publication date: 13 October 2009

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s106653070902001x

zbMATH Keywords

nonparametric regressionconditional variancemartingale transforms

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99)

Related Items (12)

Estimating the Conditional Error Distribution in Non-parametric Regression ⋮ Scale Checks in Censored Regression ⋮ Empirical smoothing lack-of-fit tests for variance function ⋮ Minimum distance conditional variance function checking in heteroscedastic regression models ⋮ Goodness-of-fit testing for copulas: a distribution-free approach ⋮ An omnibus test of goodness-of-fit for conditional distributions with applications to regression models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS ⋮ Goodness-of-fit testing the error distribution in multivariate indirect regression ⋮ A model specification test for the variance function in nonparametric regression ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ Asymptotically distribution-free goodness-of-fit testing for tail copulas

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