Normality testing for a long-memory sequence using the empirical moment generating function

DOI10.1016/j.jspi.2012.10.016zbMath1428.62175OpenAlexW2015530357MaRDI QIDQ1937205

Sucharita Ghosh

Publication date: 28 February 2013

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.2012.10.016

zbMATH Keywords

Hermite polynomialsgoodness-of-fit testslong-range dependenceGaussian subordinationnormality testingempirical moment generating function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10)

Related Items (9)

A random-projection based test of Gaussianity for stationary processes ⋮ On a test of normality based on the empirical moment generating function ⋮ The probability weighted characteristic function and goodness-of-fit testing ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ The credibility premiums based on estimated moment-generating function ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ New results on the Ristić–Balakrishnan family of distributions ⋮ Fourier–type tests involving martingale difference processes ⋮ Tests for time series of counts based on the probability-generating function

Uses Software

• longmemo

Cites Work

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