Nonparametric model checks for time series
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Cites work
- A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
- A nonparametric test for the regression function: Asymptotic theory
- An innovation approach to goodness-of-fit tests in \(R^ m\)
- Asymptotic normality of the recursive kernel regression estimate under dependence conditions
- Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
- Estimation in nonlinear time series models
- Goodness of fit problem and scanning innovation martingales
- scientific article; zbMATH DE number 3915424 (Why is no real title available?)
- scientific article; zbMATH DE number 3711116 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3729325 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3524591 (Why is no real title available?)
- scientific article; zbMATH DE number 3563431 (Why is no real title available?)
- scientific article; zbMATH DE number 3620754 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Identification of nonlinear time series from first order cumulative characteristics
- Model checks for regression: an innovation process approach
- Model checks under random censorship
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonparametric function estimation involving time series
- Nonparametric model checks for regression
- Nonparametric statistics for testing of linearity and serial independence
- Nonparametric tests of linearity for time series
- Robust Statistics
- Testing the equality of nonparametric regression curves
- Weak convergence of a self-consistent estimator of the survival function with doubly censored data
- Weak convergence of the sample distribution function when parameters are estimated
Cited in
(only showing first 100 items - show all)- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
- Testing the martingale difference hypothesis using integrated regression functions
- Argmax-stable marked empirical processes
- Regression model fitting with long memory errors
- A nonparametric goodness-of-fit test for a class of parametric autoregressive models
- Une méthode semi-paramétrique pour tester un modèle de régression. (A semi-parametric method to test a regression model)
- Goodness of fit test for discrete random variables
- Asymptotic distribution-free tests for semiparametric regressions with dependent data
- A neural network method for nonlinear time series analysis
- Empirical process of the squared residuals of an ARCH sequence
- Significance testing in nonparametric regression based on the bootstrap.
- Martingale transforms goodness-of-fit tests in regression models.
- Some problems in nonparametric inference for the stress release process related to the local time
- Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- A goodness-of-fit test for Poisson count processes
- Empirical likelihood ratio tests for multivariate regression models
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Weak convergence of marked empirical processes in a Hilbert space and its applications
- Lack-of-fit of a parametric measurement error AR(1) model
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- A goodness-of-fit test for copulas based on martingale transformation
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Testing nonstationary and absolutely regular nonlinear time series models
- A maximum entropy type test of fit: composite hypothesis case
- Goodness-of-fit tests for vector autoregressive models in time series
- Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
- The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular
- Data-driven smooth tests for the martingale difference hypothesis
- A score type test for general autoregressive models in time series
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Model checks of higher order time series
- Distribution-free tests of conditional moment inequalities
- Testing for superiority among two time series
- Testing semiparametric conditional moment restrictions using conditional martingale transforms
- Distribution-free tests for time series models specification
- On goodness of fit for time series regression models
- Generalized spectral tests for the martingale difference hypothesis
- Averaging of an increasing number of moment condition estimators
- Lack-of-fit tests based on partial sums of residuals
- Approximating volatilities by asymmetric power GARCH functions
- The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
- Testing multivariate distributions in GARCH models
- Distribution-free specification tests of conditional models
- Joint and marginal specification tests for conditional mean and variance models
- Specification testing for regression models with dependent data
- Large shocks vs. small shocks. (Or does size matter? May be so.)
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Goodness-of-fit test for a nonlinear time series
- Score based goodness-of-fit tests for time series
- Bootstrap assisted specification tests for the ARFIMA model
- An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking
- Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
- A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
- Large-sample tests of homogeneity for time series models
- A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS
- A statistic to check model adequacy in time series
- A bootstrap version of the residual-based smooth empirical distribution function
- On the lack of power of omnibus specification tests
- An updated review of goodness-of-fit tests for regression models
- Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models
- scientific article; zbMATH DE number 1124640 (Why is no real title available?)
- Testing the Martingale Difference Hypothesis
- ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
- A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
- ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION
- A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
- A Review on Dimension-Reduction Based Tests For Regressions
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Asymptotic results for hybrids of empirical and partial sums processes
- An Empirical Likelihood Goodness-of-Fit Test for Time Series
- Goodness‐of‐fit tests of normality for the innovations in ARMA models
- Asymptotically distribution-free tests for the volatility function of a diffusion
- ON TESTING THE GOODNESS-OF-FIT OF NONLINEAR HETEROSCEDASTIC REGRESSION MODELS
- Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- scientific article; zbMATH DE number 774846 (Why is no real title available?)
- Model Checking via Parametric Bootstraps in Time Series Analysis
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- Tests for conditional ellipticity in multivariate GARCH models
- Model checking for parametric single-index quantile autoregression
- Consistent GMM residuals-based tests of functional form
- Fitting a two phase threshold multiplicative error model
- Model diagnostics via martingale transforms: a brief review
- Testing for the Equality of Two Autoregressive Functions Using Quasi-Residuals
- A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Model checks using residual marked empirical processes
- Checking nonlinear heteroscedastic time series models
- Checks of model adequacy for univariate time series models and their application to econometric relationships
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Specification testing with estimated variables
- A specification test for dynamic conditional distribution models with function-valued parameters
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Stochastically weighted average conditional moment tests of functional form
- Jump‐robust testing of volatility functions in continuous time models
- Testing the martingale difference hypothesis in high dimension
- A class of minimum distance estimators in Markovian multiplicative error models
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