Goodness-of-fit testing under long memory

DOI10.1016/J.JSPI.2010.04.039MaRDI QIDQ993816zbMATH OpenOpenAlexFDO

Authors 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)

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Cited in

(18)

• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Goodness-of-fit tests for long memory moving average marginal density
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• Residual empirical processes for long and short memory time series
• 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
• Minimum distance lack-of-fit tests under long memory errors
• Bootstrap procedures for online monitoring of changes in autoregressive models
• Normality testing for a long-memory sequence using the empirical moment generating function
• Smooth estimation of error distribution in nonparametric regression under long memory
• Residual empirical processes for nearly unstable long-memory time series
• Distribution free goodness-of-fit tests for linear processes
• Goodness-of-fit tests in long-range dependent processes under fixed alternatives
• Tests for time series of counts based on the probability-generating function
• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• scientific article; zbMATH DE number 1944032 (Why is no real title available?)
• Empirical process of residuals for regression models with long memory errors
• A multivariate test against spurious long memory

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