Goodness-of-fit testing under long memory

DOI10.1016/j.jspi.2010.04.039zbMath1233.62152OpenAlexW2106604592MaRDI QIDQ993816

Hira L. Koul, Donatas Surgailis

Publication date: 20 September 2010

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.2010.04.039

zbMATH Keywords

moving averagesresidual empirical processsecond order expansion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (10)

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 ⋮ Goodness-of-fit tests for long memory moving average marginal density ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ Block Bootstrap for the Empirical Process of Long‐Range Dependent Data ⋮ Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors ⋮ Empirical process of residuals for regression models with long memory errors ⋮ 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

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Multiple Wiener-Itô integrals. With applications to limit theorems
• The empirical process of some long-range dependent sequences with an application to U-statistics
• Residual empirical processes for long and short memory time series
• Asymptotic normality of regression estimators with long memory errors
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Weighted empirical processes in dynamic nonlinear models.
• On the asymptotic expansion of the empirical process of long-memory moving averages
• The empirical process of a short-range dependent stationary sequence under Gaussian subordination
• Long memory processes and fractional integration in econometrics
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Consistent estimation of the memory parameter for nonlinear time series
• Kolmogorov-Smirnov tests when parameters are estimated with applications to tests of exponentiality and tests on spacings
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Goodness-of-fit testing under long memory