Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations

DOI10.3150/07-BEJ6055zbMath1155.62058arXiv0803.0835OpenAlexW3104623365MaRDI QIDQ1002573

Efstathios Paparoditis, Michael H. Neumann

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.0835

zbMATH Keywords

bootstrapcentral limit theoremautoregressive processesgoodness-of-fit testweak dependenceARCH processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Nonparametric statistical resampling methods (62G09) Markov processes: hypothesis testing (62M02)

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Uses Software

• FinTS

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