On the Bickel-Rosenblatt test for first-order autoregressive models

DOI10.1016/S0167-7152(01)00143-2zbMATH Open0994.62082OpenAlexW2044525143MaRDI QIDQ1612967FDOQ1612967

Authors: Sangyeol Lee, Seongryong Na 

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00143-2

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zbMATH Keywords

goodness of fit teststationary processunstable processAR(1) processexplosive processGaussian test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• On some global measures of the deviations of density function estimates
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• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
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• Testing normality in autoregressive models
• A nonparametric goodness of fit test for strong mixing processes
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Weak convergence of the residual empirical process in explosive autoregression
• Title not available (Why is that?)

Cited In (38)

• New goodness-of-fit tests for the error distribution of autoregressive time-series models
• Lack-of-fit of a parametric measurement error AR(1) model
• Goodness-of-fit test using residuals in infinite-order nonlinear autoregressive models
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Maximum entropy test for GARCH models
• The LIL for the Bickel-Rosenblatt test statistic
• On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
• The Bickel--Rosenblatt test for diffusion processes
• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Revisiting the estimation of the error density in functional autoregressive models
• A goodness-of-fit test for GARCH innovation density
• Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
• Global property of error density estimation in nonlinear autoregressive time series models
• Glivenko-Cantelli theorem for the kernel error distribution estimator in the first-order autoregressive model
• Goodness-of-fit testing of error distribution in linear measurement error models
• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• Asymptotic of the \(L_r\)-norm of density estimators in the autoregressive time series
• Asymptotics of the \(L_p\)-norms of density estimators in the nonlinear autoregressive models
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Empirical likelihood inference for error density estimators in first-order autoregression models
• Maximum entropy test for autoregressive models
• A divergence test for autoregressive time series models
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Omnibus goodness of fit test based on quadratic distance
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• Title not available (Why is that?)
• An updated review of goodness-of-fit tests for regression models
• Asymptotic normality of error density estimator in stationary and explosive autoregressive models
• Goodness-of-fit test using residuals in infinite-order autoregressive models
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models
• Minimum distance estimation and goodness-of-fit tests in first-order autoregression
• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• A nonparametric goodness of fit test for strong mixing processes

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