A locally asymptotically powerful test for nonlinear autoregressive models

DOI10.1016/j.crma.2008.02.017OpenAlexW2066937687MaRDI QIDQ931815

Fateh Chebana, Naâmane Laïb

Publication date: 26 June 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.02.017

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) General nonlinear regression (62J02)

Related Items (1)

Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors

Cites Work

• Checking nonlinear heteroscedastic time series models
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Comparing nonparametric versus parametric regression fits
• Mixing: Properties and examples
• Identification of nonlinear time series from first order cumulative characteristics
• Nonparametric model checks for regression
• Asymptotic theory of statistical inference for time series
• On Large-Sample Estimation and Testing in Parametric Models
• A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data
• Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models
• Non-Parametric Testing of Conditional Variance Functions in Time Series
• Nonparametric testing for correlation models with dependent data
• Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity

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