Nonparametric model checks for time series
From MaRDI portal
Recommendations
- Nonparametric tests for model selection with time series data
- Publication:4935654
- A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
- Checking nonlinear heteroscedastic time series models
- A nonparametric model for stationary time series
- Nonparametric time series regression
Cites work
- 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?)
- 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
- 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 of normality for the innovations in ARMA models
- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
- Asymptotic results for hybrids of empirical and partial sums processes
- A neural network method for nonlinear time series analysis
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Diagnostic checking for conditional heteroscedasticity models
- Checking nonlinear heteroscedastic time series models
- ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
- Permutation test for heterogeneous treatment effects with a nuisance parameter
- Large-sample tests of homogeneity for time series models
- Joint and marginal specification tests for conditional mean and variance models
- Testing multivariate distributions in GARCH models
- Specification testing for regression models with dependent data
- Large shocks vs. small shocks. (Or does size matter? May be so.)
- Specification tests of parametric dynamic conditional quantiles
- Empirical likelihood ratio tests for multivariate regression models
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- A specification test for dynamic conditional distribution models with function-valued parameters
- Generalized spectral tests for the martingale difference hypothesis
- Asymptotically distribution-free tests for the volatility function of a diffusion
- ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION
- An updated review of goodness-of-fit tests for regression models
- Significance testing in nonparametric regression based on the bootstrap.
- An Empirical Likelihood Goodness-of-Fit Test for Time Series
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Testing for superiority among two time series
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
- Score based goodness-of-fit tests for time series
- Distribution-free tests for time series models specification
- Checks of model adequacy for univariate time series models and their application to econometric relationships
- Testing semiparametric conditional moment restrictions using conditional martingale transforms
- Testing the Martingale Difference Hypothesis
- A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
- On the lack of power of omnibus specification tests
- Empirical process of the squared residuals of an ARCH sequence
- Martingale transforms goodness-of-fit tests in regression models.
- An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking
- Distribution free goodness-of-fit tests for linear processes
- Testing for a linear MA model against threshold MA models
- Distribution-free tests of conditional moment inequalities
- Model diagnostics via martingale transforms: a brief review
- Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
- Lack-of-fit tests based on partial sums of residuals
- Model checks of higher order time series
- Model checks using residual marked empirical processes
- Fitting a two phase threshold multiplicative error model
- A goodness-of-fit test for Poisson count processes
- A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular
- Regression model fitting with long memory errors
- A bootstrap version of the residual-based smooth empirical distribution function
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- scientific article; zbMATH DE number 774846 (Why is no real title available?)
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
- Tests for conditional ellipticity in multivariate GARCH models
- Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View
- A goodness-of-fit test for copulas based on martingale transformation
- Model Checking via Parametric Bootstraps in Time Series Analysis
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Testing the martingale difference hypothesis using integrated regression functions
- A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
- Distribution-free specification tests of conditional models
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Goodness of fit test for ergodic diffusion processes
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
- Jump‐robust testing of volatility functions in continuous time models
- Bootstrap assisted specification tests for the ARFIMA model
- ON TESTING THE GOODNESS-OF-FIT OF NONLINEAR HETEROSCEDASTIC REGRESSION MODELS
- Asymptotic inference in some heteroscedastic regression models with long memory design and errors
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Volatility Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Multivariate Volatility
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Some problems in nonparametric inference for the stress release process related to the local time
- New goodness-of-fit tests for the error distribution of autoregressive time-series models
- Empirical‐process‐based specification tests for diffusion models
- Model checking for parametric single-index quantile autoregression
- Averaging of an increasing number of moment condition estimators
- Goodness-of-fit test for a nonlinear time series
- A class of minimum distance estimators in Markovian multiplicative error models
- Data-driven smooth tests for the martingale difference hypothesis
- Weak convergence of marked empirical processes in a Hilbert space and its applications
- 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
- A score type test for general autoregressive models in time series
- Testing the martingale difference hypothesis in high dimension
- Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series
- Stochastically weighted average conditional moment tests of functional form
- Asymptotic distribution-free tests for semiparametric regressions with dependent data
- Unified specification tests in partially linear quantile regression models
- Metalearning of time series: an approximate dynamic programming approach
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS
- A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
- Argmax-stable marked empirical processes
- Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
- Testing for the Equality of Two Autoregressive Functions Using Quasi-Residuals
This page was built for publication: Nonparametric model checks for time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1807172)
