Goodness-of-fit tests for long memory moving average marginal density

DOI10.1007/s00184-012-0383-yzbMath1256.62051OpenAlexW2060942434MaRDI QIDQ1938500

Hira L. Koul, Nao Mimoto, Donatas Surgailis

Publication date: 21 February 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0383-y

zbMATH Keywords

kernel density estimatorresidual empirical processchi square distribution

Mathematics Subject Classification ID

Related Items (6)

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 ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ 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

Uses Software

• longmemo

Cites Work

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• Consistent estimation of the memory parameter for nonlinear time series
• The Use of $\omega ^2 $ Tests for Testing Parametric Hypotheses
• Functional central limit theorem for the empirical process of short memory linear processes
• The Invariance Principle for Stationary Processes
• Second-order behavior of M-estimators in linear regression with long-memory errors

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