Minimum distance lack-of-fit tests under long memory errors

DOI10.1007/S00184-014-0492-XzbMath1333.62201OpenAlexW2119239619MaRDI QIDQ2256084

Nao Mimoto, Hira L. Koul, Donatas Surgailis

Publication date: 19 February 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-014-0492-x

zbMATH Keywords

local Whittlemoving average errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Comparing two nonparametric regression curves in the presence of long memory in covariates and errors

Uses Software

• longmemo

Cites Work

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• Long-Memory Processes

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