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

DOI10.1007/S11009-011-9270-7MaRDI QIDQ1930624zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1416649 (Why is no real title available?)
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
• Contributions to Central Limit Theory for Dependent Variables
• Goodness-of-Fit to the Exponential Distribution, Focused on Weibull Alternatives
• Goodness-of-fit tests based on quadratic functionals of transformed empirical processes
• Goodness-of-fit tests for continuous regression
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Model checks using residual marked empirical processes
• Nonparametric model checks for time series
• On residual empirical processes of stochastic regression models with applications to time series
• On the residuals of autoregressive processes and polynomial regression
• Testing Statistical Hypotheses
• Tests of normality based on transformed empirical processes
• The empirical process of autoregressive residuals
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Weighted empirical processes in dynamic nonlinear models.

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

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