Weak convergence of marked empirical processes for focused inference on AR(p) vs AR(p+1) stationary time series

DOI10.1007/S11009-011-9270-7OpenAlexW2168388077MaRDI QIDQ1930624FDOQ1930624

Authors: Alejandra Cabaña, Enrique M. Cabaña, Marco Scavino 

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9270-7

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zbMATH Keywords

goodness-of-fitautoregressive processesmarked processestransformations of processes in inference

Mathematics Subject Classification ID

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

Cites Work

• Testing Statistical Hypotheses
• Nonparametric model checks for time series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• On the residuals of autoregressive processes and polynomial regression
• Weighted empirical processes in dynamic nonlinear models.
• On residual empirical processes of stochastic regression models with applications to time series
• The empirical process of autoregressive residuals
• Model checks using residual marked empirical processes
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Contributions to Central Limit Theory for Dependent Variables
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
• Tests of normality based on transformed empirical processes
• Goodness-of-Fit to the Exponential Distribution, Focused on Weibull Alternatives
• Goodness-of-fit tests for continuous regression
• Goodness-of-fit tests based on quadratic functionals of transformed empirical processes

Cited In (2)

• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• Forecasting time series with optimal neural networks using multi-objective optimization algorithm based on AICc

Uses Software

• itsmr

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