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

DOI10.1016/S0167-7152(01)00143-2MaRDI QIDQ1612967zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Testing normality in autoregressive models
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
• Weak convergence of the residual empirical process in explosive autoregression
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(38)

• A goodness-of-fit test of the errors in nonlinear autoregressive time series models
• New goodness-of-fit tests for the error distribution of autoregressive time-series models
• A nonparametric goodness of fit test for strong mixing processes
• Lack-of-fit of a parametric measurement error AR(1) model
• Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band
• Goodness-of-fit test using residuals in infinite-order nonlinear autoregressive models
• 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
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Asymptotics of the \(L_p\)-norms of density estimators in the nonlinear autoregressive 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
• scientific article; zbMATH DE number 883616 (Why is no real title available?)
• 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
• Minimum distance estimation and goodness-of-fit tests in first-order autoregression
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models

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